Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer

被引：122

作者：

Fleten, Stein-Erik ^{[1
]}

Kristoffersen, Trine Krogh ^{[1
]}

机构：

[1] Norwegian Univ Sci & Technol, Dept Ind Econ & Technol Management, NO-7491 Trondheim, Norway

来源：

EUROPEAN JOURNAL OF OPERATIONAL RESEARCH | 2007年 / 181卷 / 02期

关键词：

OR in energy; electricity markets; bidding; stochastic programming; scenarios;

D O I：

10.1016/j.ejor.2006.08.023

中图分类号：

C93 [管理学];

学科分类号：

12 [管理学]; 1201 [管理科学与工程]; 1202 [工商管理学]; 120202 [企业管理];

摘要：

From the point of view of a price-taking hydropower producer participating in the day-ahead power market, market prices are highly uncertain. The present paper provides a model for determining optimal bidding strategies taking this uncertainty into account. In particular, market price scenarios are generated and a stochastic mixed-integer linear programming model that involves both hydropower production and physical trading aspects is developed. The idea is to explore the effects of including uncertainty explicitly into optimization by comparing the stochastic approach to a deterministic approach. The model is illustrated with data from a Norwegian hydropower producer and the Nordic power market at Nord Pool. (c) 2006 Elsevier B.V. All rights reserved.

引用

页码：916 / 928

页数：13

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