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Tools for generation risk management

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1 Author(s)
Shahidehpour, M. ; Illinois Inst. of Technol., Chicago, IL

The first part of the paper is on a comprehensive price-based unit commitment (PBUC) formulation. it is perceived that GENCOs would use PBUC to schedule their generating units on short-term, and determine optimal bids for energy and ancillary services in order to maximize their profits. PBUC is a mixed integer program, which considers the characteristics of individual units, and is solved based on the augmented Lagrangian relaxation. The input to PBUC will also include market price forecasts. The output of PBUC will identify the on/off schedules of available generating units within the scheduling horizon. The PBUC solution will be for multiple products (energy and ancillary services portfolio) and will consider bidding in multiple markets. The second part of the presentation encompasses generation asset valuation and value-at-risk (VaR) for measuring the risk of committing the generating assets. The asset valuation problem is formulated as a multi-stage problem and VaR is used as an index for measuring risk. The presumption in this study is that there are hourly markets for both electricity and fuel with fluctuating prices. A Monte Carlo simulation is used for modeling different pricing and generation scenarios and calculate VaR for minimizing the financial risk of GENCOs for supplying the generation to the market

Published in:

Power Engineering Society Summer Meeting, 2001  (Volume:1 )

Date of Conference: