A Short-term Scheduling Model for a Generation Company operating on Day-Ahead and Physical Derivatives Electricity Markets

Publication TypeConference Paper
Year of Publication2009
AuthorsVespucci, M.T.; Corchero, C.; Heredia, F.-Javier; Innorta, M.
Conference NameThird FIMA International Conference
Conference Date19-22/01/2009
Conference LocationGressoney Saint Jean, Italy.
EditorFederazione Italiana di Matematica Applicata
Type of WorkInvited oral presentation
Key Wordsresearch; electricity markets; futures contracts; hydro-thermal
AbstractA decision support procedure is developed for the short-term hydro-thermal resource scheduling problem of a Generation Company operating in the liberalized electric energy market and aiming at profit maximization. The generation company is supposed to be a price-taker, i.e. without influence on the electricity market price: therefore the profit maximization model of the problem faced by the GenCo must take into account both technical problems of generation and uncertainty of electricity prices. The power producer may hedge against the significant risk factor represented by energy market-price by participating in the Derivatives electricity Market. The derivatives products considered in this work are the futures contracts. T
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