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Modeling Risk Management in Oligopolistic Electricity Markets: A Benders Decomposition Approach

J. Cabero, M. Ventosa, S. Cerisola, Á. Baíllo

This paper presents a model for addressing the market risk management problem faced by a hydrothermal generation company trading in an oligopolistic market. The risk is due to uncertainty in fuel prices, power demand, water inflows, and electricity prices. The model permits the representation of a diversified generation portfolio and measures risk exposure by means of conditional value at risk. The model is formulated and solved as a stochastic linear complementarity problem. In order to deal with realistically sized problems, Bender’s decomposition technique is adapted to solve equilibrium models. A numerical example illustrates the possibilities of the algorithm we propose.


Keywords: Complementarity problem, market equilibrium, risk hedging, stochastic programming


IEEE Transactions on Power Systems. Volume: 25 Issue: 1 Pages: 263-271

JCR Impact Factor and Scopus quartile: 2.355 (2010); 5.255 - Q1 (2017).

DOI reference: DOI icon 10.1109/TPWRS.2009.2036788    

Published on paper: February 2010.



Citation:
J. Cabero, M. Ventosa, S. Cerisola, Á. Baíllo. Modeling Risk Management in Oligopolistic Electricity Markets: A Benders Decomposition Approach. IEEE Transactions on Power Systems. vol. 25, no. 1, pp. 263-271, February 2010.


    Topics research:
  • *Short-Term Operation, Market Bidding and Operating Reserves
  • *Medium-term tactical planning

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