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Strategic Analysis of Electricity Markets Under Uncertainty: A Conjectured-Price-Response Approach

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3 Author(s)
Centeno, E. ; Sch. of Eng., Univ. Pontificia Comillas, Madrid ; Reneses, J. ; Barquin, J.

This paper presents a model to address generation companies' medium-term strategic analysis (including yearly forecast and decision-making processes) based on a conjectured-price-response market equilibrium representation that assumes a single node system. This equilibrium is formulated by simultaneous consideration that any of the variables that affect price formation-such as hydro inflows, demand, or fuel prices-are stochastic, by representing them through a scenario tree. It is shown that this equilibrium formulation can be solved by means of an equivalent optimization problem, which in most common cases becomes a quadratic programming problem. This schema enables taking advantage of the properties of classical medium-term operation optimization models, including clear model structure, reasonable computing solving time, and easy obtaining of dual-information. An annual study case (inspired by the Spanish electricity market) is presented, including two alternative demand levels in summer and three hydro-inflow situations, both in spring and autumn. In addition to the advantages previously mentioned, this approach provides richer results than a deterministic one, allowing companies to fit their policies more accurately to reality, thereby avoiding, for example, excessively optimistic or pessimistic decisions proposed by the deterministic analysis

Published in:

Power Systems, IEEE Transactions on  (Volume:22 ,  Issue: 1 )

Date of Publication:

Feb. 2007

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