Ir arriba
Información del artículo

Electricity market short-term risk management via risk-adjusted probability measures

N. Jovanovic, J. García-González, J. Barquín, S. Cerisola

This paper presents an iterative algorithm for modelling the mean-risk model with the Conditional Value at Risk (CVaR). The algorithm is based on the Lagrangian relaxation decomposition, and its main advantage is that it allows removing the coupling between the scenarios due to the constraints used to model the risk. At each stage of the algorithm, a risk-neutral stochastic optimisation problem is solved with the risk-adjusted probabilities that substitute the original ones. The paper presents the application of the proposed Iterative CVaR algorithm to two different short-term problems where the decision makers are exposed to a high volatility of electricity spot market prices. In the first problem a time horizon of one week is taken into account and a future physical contract is employed as a hedging mechanism. The second problem includes a very detailed formulation of the unit commitment problem. The numerical application is based on realistic data of the Iberian electricity market, where the algorithm has shown a good performance in terms of accuracy and computational time. In addition, this paper provides a criterion for selecting the value of the parameters used to implement the CVaR model.


Palabras clave: iterative methods, power generation dispatch, power generation scheduling, power markets, probability, relaxation theory, risk management, stochastic programming


IET Generation Transmission & Distribution. Volumen: 11 Numero: 10 Páginas: 2599-2607

Índice de impacto JCR y cuartil Scopus: 2.618 - Q1 (2017)

Referencia DOI: DOI icon 10.1049/iet-gtd.2016.1731    

Publicado en papel: Julio 2017. Publicado on-line: Junio 2017.


    Líneas de investigación:
  • *Programación de la Operación a Corto Plazo, Elaboración de Ofertas y Análisis de Reservas de Operación

pdf  Previsualizar
pdf Solicitar el artículo completo a los autores



Aviso legal  |  Política de cookies |  Política de Privacidad

© Universidad Pontificia Comillas, Escuela Técnica Superior de Ingeniería - ICAI, Instituto de Investigación Tecnológica

Calle de Santa Cruz de Marcenado, 26 - 28015 Madrid, España - Tel: (+34) 91 5422 800