Stochastic Optimal Bid to Electricity Markets with Emission Risk Constraints
Thu, 11/27/2014 - 21:20 — admin
| Publication Type | Conference Paper |
| Year of Publication | 2014 |
| Authors | F.-Javier Heredia; Julián Cifuentes; Cristina Corchero |
| Conference Name | IFORS2014: 20th Conference of the International Federation of Operational Research Societies |
| Conference Date | 13-18/07/2014 |
| Conference Location | Barcelona |
| Type of Work | Invited presentation |
| Key Words | research; emission limits; risk; stochastic programming; day-ahead electricity market; combined cycle units |
| Abstract | This work allows investigating the influence of the emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market (MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental framework to deal with by the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Valueat-
Risk (CVaR), have been extended giving rise to the new concept of Conditional Emission at Risk (CEaR). The economic implications for a GenCo of including the environmental restrictions of this National Plan are analyzed, and the effect of the NERP in the expected profits and optimal generation bid are analyzed. |
| URL | Click Here |
| Export | Tagged XML BibTex |
|
