Resumen:
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.
Palabras Clave: Complementarity problem, market equilibrium, risk hedging, stochastic programming
Índice de impacto JCR y cuartil WoS: 2,355 (2010); 6,600 - Q1 (2022)
Referencia DOI:
https://doi.org/10.1109/TPWRS.2009.2036788
Publicado en papel: Febrero 2010.
Publicado on-line: Enero 2010.
Cita:
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, Febrero 2010. [Online: Enero 2010]
