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Forward trading for an electricity producer

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3 Author(s)
A. J. Conejo ; Univ. Castilla-La Mancha, Ciudad Real, Spain ; R. Garcia-Bertrand ; M. Carrion

Within a yearly time framework this tutorial paper describes a stochastic programming model to determine the electricity market strategy of a producer. Both a financial forward market and a day-ahead pool are considered. Hourly pool prices are modeled as stochastic variables. Decisions pertaining to the forward market are made at monthly/quarterly intervals while decisions involving the pool are made throughout the year. Risk on profit variability is modeled through the CVaR methodology. The resulting decision-making problem is formulated and characterized as a large-scale linear programming problem, which can be solved using commercially available software.

Published in:

Electric Utility Deregulation and Restructuring and Power Technologies, 2008. DRPT 2008. Third International Conference on

Date of Conference:

6-9 April 2008