Journal
IEEE TRANSACTIONS ON POWER SYSTEMS
Volume 29, Issue 6, Pages 2916-2925Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TPWRS.2014.2319269
Keywords
Generation company (GenCo); information gap decision theory; portfolio optimization; uncertainty
Categories
Funding
- DST [SERB/F/3486/2012-2013]
Ask authors/readers for more resources
An independent generation company (GenCo) secures its future trading position by managing its portfolio among multiple trading options. Future returns of these trading options are not known during decision making and are traditionally estimated using probabilistic or fuzzy methods. Quantifying such uncertainty of market returns by conventional methods does not reflect the information gap existing between estimated and actual market returns. Based on quantification of this information gap, the paper proposes GenCo's portfolio optimization using a non-probabilistic Information Gap Decision Theory (IGDT). This framework comprehensively models GenCo's behavior in deciding its trading strategy. Considering GenCo's risk-averse behavior, the framework provides decisions that are robust towards losses, while considering its risk-seeking behavior the framework offers opportunity to capture windfall gains. The proposed approach has been validated through practical case study of PJM market.
Authors
I am an author on this paper
Click your name to claim this paper and add it to your profile.
Reviews
Recommended
No Data Available