Open AccessStochastic self‐scheduling of generation companies in day‐ahead multi‐auction electricity markets considering uncertainty of units and electricity market prices
Author(s) -
Vatani Behdad,
Amjady Nima,
Zareipour Hamidreza
Publication year - 2013
Publication title -
iet generation, transmission and distribution
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.92
H-Index - 110
eISSN - 1751-8695
pISSN - 1751-8687
DOI - 10.1049/iet-gtd.2012.0729
Subject(s) - electricity market , electricity , scheduling (production processes) , common value auction , computer science , expected shortfall , electricity generation , stochastic programming , econometrics , operations research , microeconomics , mathematical optimization , economics , risk management , engineering , finance , operations management , electrical engineering , mathematics , power (physics) , physics , quantum mechanics
This study presents a new stochastic self‐scheduling model for generation companies (GENCOs) in day‐ahead electricity markets including energy and reserves auctions. The proposed stochastic model takes into account both the uncertainty of predicted market prices and forced outages of generating units. Also, financial risk of GENCOs is formulated through well‐known conditional value‐at‐risk index. The proposed self‐scheduling model is tested on the IEEE 118‐bus test system and the obtained results are discussed.