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
IEEE Transactions on Power Systems. Volumen: 25 Numero: 1 Páginas: 263-271
Índice de impacto JCR y cuartil Scopus: 2.355 (2010); 5.255 - Q1 (2017).
Referencia DOI: 10.1109/TPWRS.2009.2036788
Publicado en papel: Febrero 2010.