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Trading Stochastic Production in Electricity Pools

  • Juan M. MoralesEmail author
  • Antonio J. Conejo
  • Henrik Madsen
  • Pierre Pinson
  • Marco Zugno
Chapter
Part of the International Series in Operations Research & Management Science book series (ISOR, volume 205)

Abstract

Renewable electricity producers must trade in day-ahead electricity markets in the same manner as conventional producers. However, their power production may be highly unpredictable and nondispatchable. This is the case, for example, of wind and solar power producers, which thus need to use the balancing market to mend eventual deviations with respect to their day-ahead schedule. This chapter presents close formulae to determine the optimal offering strategy of stochastic producers in the day-ahead market. The analytical solution to these formulae is available under certain assumptions on the probabilistic structure characterizing power production and market prices. Stochastic programming is then introduced as a powerful mathematical framework to rid the solution to the trading problem for stochastic producers of these simplifying assumptions.

Keywords

Stochastic Programming Expected Profit Mathematical Program With Equilibrium Constraint Stochastic Producer Adjustment Market 
These keywords were added by machine and not by the authors. This process is experimental and the keywords may be updated as the learning algorithm improves.

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Copyright information

© Springer Science+Business Media New York 2014

Authors and Affiliations

  • Juan M. Morales
    • 1
    Email author
  • Antonio J. Conejo
    • 2
  • Henrik Madsen
    • 1
  • Pierre Pinson
    • 3
  • Marco Zugno
    • 1
  1. 1.DTU ComputeTechnical University of DenmarkLyngbyDenmark
  2. 2.University of Castilla – La ManchaCiudad RealSpain
  3. 3.DTU ElektroTechnical University of DenmarkLyngbyDenmark

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