Journal
IEEE TRANSACTIONS ON POWER SYSTEMS
Volume 20, Issue 3, Pages 1379-1388Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TPWRS.2005.851934
Keywords
conditional value-at-risk; generation operation planning; integrated risk management; risk analysis; stochastic optimization
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This, paper presents a methodology to manage the market risk faced by a hydrothermal generation company in the medium-term (one year). This risk is due to uncertainty in fuel prices, power demand, water inflows, and electricity prices. The proposed methodology includes three steps: the generation of scenarios for these random parameters, the approximation of these scenarios by a multivariate scenario tree, and the optimization of the company's operational. and financial hedging decisions under a stochastic programming framework. The optimization model permits the representation of a diversified generation portfolio and measures risk exposure by means of conditional value-at-risk. A realistic numerical example is solved to illustrate the possibilities of our approach.
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