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Modeling Risk Management in Oligopolistic Electricity Markets: A Benders Decomposition Approach

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4 Author(s)
Cabero, J. ; Banco Santander, Madrid, Spain ; Ventosa, M.J. ; Cerisola, S. ; Baillo, A.

This paper presents a model for addressing the market risk management problem faced by a hydrothermal generation company trading in an oligopolistic market. The risk is due to uncertainty in fuel prices, power demand, water inflows, and electricity prices. The model permits the representation of a diversified generation portfolio and measures risk exposure by means of conditional value at risk. The model is formulated and solved as a stochastic linear complementarity problem. In order to deal with realistically sized problems, Bender's decomposition technique is adapted to solve equilibrium models. A numerical example illustrates the possibilities of the algorithm we propose.

Published in:

Power Systems, IEEE Transactions on  (Volume:25 ,  Issue: 1 )

Date of Publication:

Feb. 2010

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