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Medium-term trading strategy of a dominant electricity producer

Medium-term trading strategy of a dominant electricity producer
Medium-term trading strategy of a dominant electricity producer
This paper presents a multi-objective two-stage bilevel stochastic programming framework for a dominant electricity producer to determine an optimal trading strategy in a deregulated electricity spot market in a medium-term time horizon: at the first stage and upper level, the dominant producer aims at maximizing its expected market share and profit, while taking into account the trade-off between the two objectives, and at the second stage and lower level, the independent system operator determines the dispatches and power flows on an hourly basis after realization of uncertainty in market demand, by solving an optimization problem which aims at maximizing the total social welfare. Through Karush–Kuhn–Tucker conditions, the lower level problem is formulated as a complementarity problem and subsequently the dominant producer’s optimal decision making problem as a two-stage stochastic mathematical problem with equilibrium constraints (SMPEC). To solve the SMPEC, it is proposed to reformulate the SMPEC as a mixed integer linear program by representing the complementarity constraints as a system of mixed integer linear inequalities with binary variables. Numerical tests results are reported through a medium size case study based on Italian electricity market.
1868-3967
323-347
Gourtani, Arash
4bbb8f40-64d0-44db-bdd8-c6c2d1ca6923
Xu, Huifu
d3200e0b-ad1d-4cf7-81aa-48f07fb1f8f5
Pozo, David
aacd9fc5-cf7b-47df-b2d8-ec00c0726c45
Vespucci, Maria
ec1c2f99-c1a5-4714-8b3b-a52699928fa0
Gourtani, Arash
4bbb8f40-64d0-44db-bdd8-c6c2d1ca6923
Xu, Huifu
d3200e0b-ad1d-4cf7-81aa-48f07fb1f8f5
Pozo, David
aacd9fc5-cf7b-47df-b2d8-ec00c0726c45
Vespucci, Maria
ec1c2f99-c1a5-4714-8b3b-a52699928fa0

Gourtani, Arash, Xu, Huifu, Pozo, David and Vespucci, Maria (2014) Medium-term trading strategy of a dominant electricity producer. Energy Systems, 5 (2), 323-347. (doi:10.1007/s12667-013-0105-1).

Record type: Article

Abstract

This paper presents a multi-objective two-stage bilevel stochastic programming framework for a dominant electricity producer to determine an optimal trading strategy in a deregulated electricity spot market in a medium-term time horizon: at the first stage and upper level, the dominant producer aims at maximizing its expected market share and profit, while taking into account the trade-off between the two objectives, and at the second stage and lower level, the independent system operator determines the dispatches and power flows on an hourly basis after realization of uncertainty in market demand, by solving an optimization problem which aims at maximizing the total social welfare. Through Karush–Kuhn–Tucker conditions, the lower level problem is formulated as a complementarity problem and subsequently the dominant producer’s optimal decision making problem as a two-stage stochastic mathematical problem with equilibrium constraints (SMPEC). To solve the SMPEC, it is proposed to reformulate the SMPEC as a mixed integer linear program by representing the complementarity constraints as a system of mixed integer linear inequalities with binary variables. Numerical tests results are reported through a medium size case study based on Italian electricity market.

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More information

e-pub ahead of print date: 22 December 2013
Published date: June 2014
Organisations: Operational Research

Identifiers

Local EPrints ID: 390727
URI: http://eprints.soton.ac.uk/id/eprint/390727
ISSN: 1868-3967
PURE UUID: dfe33952-32a4-473f-9676-596993de7724
ORCID for Huifu Xu: ORCID iD orcid.org/0000-0001-8307-2920

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Date deposited: 06 Apr 2016 14:22
Last modified: 15 Mar 2024 03:15

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Contributors

Author: Arash Gourtani
Author: Huifu Xu ORCID iD
Author: David Pozo
Author: Maria Vespucci

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