On the self-scheduling of a power producer in uncertain trading environments

This work presents a scenario-based approach to the self-scheduling problem of a price taker power producer in a DA market. It concentrates on three categories of uncertainty including price, forced outage and generation reallocation and analyses their effects on the producer revenue. To tackle the uncertainties a set of price scenarios are so generated that their means and covariance matrix are the same as the base-case scenario. Forced outage and generation reallocation of generator for each price scenario are appropriately modeled through a probabilistic methodology. In this work Downside Risk (DR) is employed as the risk measure which quantifies the downside violations from a specified target. A risk-constrained self-scheduling problem is therefore formulated and solved as a mixed integer linear programming problem. Numerical results for a case study are discussed. (c) 2007 Elsevier B.V. All rights reserved.