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Price-Driven Hydropower Dispatch Under Uncertainty

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Handbook of Risk Management in Energy Production and Trading

Part of the book series: International Series in Operations Research & Management Science ((ISOR,volume 199))

Abstract

After a review of hydropower optimization models, we focus on price-driven hydropower dispatch models under uncertainty of the electricity price. We present two modeling approaches for pumped-storage plants. In the first model, the water level is constrained in expectation. We discuss the marginal price of water, which is obtained analytically, and influences of price variances. The second model is a multistage stochastic linear program on a scenario tree. Financial risk is constrained by a time-consistent extension of CVaR (conditional-value-at-risk). The model has two time scales: The short-term dispatch decision is separated from the long-term planning by aggregating electricity prices into occupation times at price levels. The risk constraint is tested in a case study.

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Acknowledgements

I thank H. Turton for valuable suggestions on a draft version.

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Authors and Affiliations

  1. Energy Economics Group, Paul Scherrer Institute, 5232, Villigen PSI, Switzerland

    Martin Densing

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Editors and Affiliations

  1. Department of Statistics & OR, University of Vienna, Wien, Austria

    Raimund M. Kovacevic

  2. Department of Statistics & OR, University of Vienna, Wien, Austria

    Georg Ch. Pflug

  3. Department of IT & Mathematical Methods, University of Bergamo, Dalmine, Bergamo, Italy

    Maria Teresa Vespucci

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Densing, M. (2013). Price-Driven Hydropower Dispatch Under Uncertainty. In: Kovacevic, R., Pflug, G., Vespucci, M. (eds) Handbook of Risk Management in Energy Production and Trading. International Series in Operations Research & Management Science, vol 199. Springer, Boston, MA. https://doi.org/10.1007/978-1-4614-9035-7_4

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