A two stage stochastic equilibrium model for electricity markets with two way contracts
A two stage stochastic equilibrium model for electricity markets with two way contracts
This paper investigates generators’ strategic behaviors in contract signing in the forward market and power transaction in the electricity spot market. A stochastic equilibrium program with equilibrium constraints (SEPEC) model is proposed to characterize the interaction of generators’ competition in the two markets. The model is an extension of a similar model proposed by Gans et al. (Aust J Manage 23:83–96, 1998) for a duopoly market to an oligopoly market. The main results of the paper concern the structure of a Nash–Cournot equilibrium in the forward-spot market: first, we develop a result on the existence and uniqueness of the equilibrium in the spot market for every demand scenario. Then, we show the monotonicity and convexity of each generator’s dispatch quantity in the spot equilibrium by taking it as a function of the forward contracts. Finally, we establish some sufficient conditions for the existence of a local and global Nash equilibrium in the forward-spot markets. Numerical experiments are carried out to illustrate how the proposed SEPEC model can be used to analyze interactions of the markets
electricity market, nash equilibrium, stochastic equilibrium programs with equilibrium constraints
1-45
Zhang, D.
1c04f0f4-c07c-4671-8fd0-fa07a685fea2
Xu, H.
d3200e0b-ad1d-4cf7-81aa-48f07fb1f8f5
Wu, Y.
e279101b-b392-45c4-b894-187e2ded6a5c
10 February 2010
Zhang, D.
1c04f0f4-c07c-4671-8fd0-fa07a685fea2
Xu, H.
d3200e0b-ad1d-4cf7-81aa-48f07fb1f8f5
Wu, Y.
e279101b-b392-45c4-b894-187e2ded6a5c
Zhang, D., Xu, H. and Wu, Y.
(2010)
A two stage stochastic equilibrium model for electricity markets with two way contracts.
Mathematical Methods of Operations Research, 71 (1), .
(doi:10.1007/s00186-009-0283-8).
Abstract
This paper investigates generators’ strategic behaviors in contract signing in the forward market and power transaction in the electricity spot market. A stochastic equilibrium program with equilibrium constraints (SEPEC) model is proposed to characterize the interaction of generators’ competition in the two markets. The model is an extension of a similar model proposed by Gans et al. (Aust J Manage 23:83–96, 1998) for a duopoly market to an oligopoly market. The main results of the paper concern the structure of a Nash–Cournot equilibrium in the forward-spot market: first, we develop a result on the existence and uniqueness of the equilibrium in the spot market for every demand scenario. Then, we show the monotonicity and convexity of each generator’s dispatch quantity in the spot equilibrium by taking it as a function of the forward contracts. Finally, we establish some sufficient conditions for the existence of a local and global Nash equilibrium in the forward-spot markets. Numerical experiments are carried out to illustrate how the proposed SEPEC model can be used to analyze interactions of the markets
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Published date: 10 February 2010
Keywords:
electricity market, nash equilibrium, stochastic equilibrium programs with equilibrium constraints
Organisations:
Operational Research
Identifiers
Local EPrints ID: 79533
URI: http://eprints.soton.ac.uk/id/eprint/79533
ISSN: 1432-2994
PURE UUID: dfefeb96-17c4-4e78-aaf6-cb0710765dd7
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Date deposited: 17 Mar 2010
Last modified: 14 Mar 2024 02:49
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Author:
D. Zhang
Author:
H. Xu
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