A Genco self-scheduling problem with correlated prices using a new robust optimization approach

Jalilvand-Nejad, Amir; Shafaei, Rasoul; Shahriari, Hamid

doi:10.1080/00207543.2017.1288944

Cited by 4 publications

(7 citation statements)

References 26 publications

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“…To start with, the nominal prices for six months namely February, April, June, August, October and December 2019 of Iranian day-ahead market are used. As illustrated in [12], there is a strong correlation among hourly prices of Iranian day-ahead market. The data from other countries would also follow the similar pattern.…”

Section: Resultsmentioning

confidence: 97%

“…This model is a nonlinear model and hence, Jalilvandnejad et al [12] rewrote this model by replacing the deviation term of the objective function with its corresponding dual problem. The model is written as follows:…”

Section: (( (mentioning

confidence: 99%

“…It means that the solutions robustness against perturbations with low probability of occurrence decreases the optimality of solutions. In this regard Jalilvandnejad, Shafaei and Shahriari [12] developed a robust model for the self-scheduling problem for a power generation company based on a couple of polyhedral uncertainty sets that consider the existing correlation among hourly prices.…”

Section: Introductionmentioning

confidence: 99%

See 2 more Smart Citations

A New Robust Bidding Approach for Wind Power Producers Participating in Competitive Power Markets with Correlated Market Prices

Daneshvari

Shafaei

2022

Scientia Iranica

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In this research, a bidding problem for a wind-power plant participating in a dayahead power market with uncertain correlated market prices is studied. A new robust optimization approach considering correlation among uncertainty on the hourly prices in a day-ahead market is developed. This results in solutions with lower level of over-conservatism. For this purpose a new correlated polyhedral uncertainty set is introduced. To consider the uncertainty of market clearing prices and the value of power produced by wind power producer a bidding algorithm is developed. Results of the study using a robust modelling the bidding problem reveal that the appliance of the proposed model on the bidding problem for a price-taker wind power plant in a day-ahead market with uncertain correlated data leads to solutions with superior performance than that of the conventional polyhedral uncertainty sets.

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Section: Resultsmentioning

confidence: 97%

Section: (( (mentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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A New Robust Bidding Approach for Wind Power Producers Participating in Competitive Power Markets with Correlated Market Prices

Daneshvari

Shafaei

2022

Scientia Iranica

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“…Moreover, reforming the polyhedral borders will create a new uncertainty set with bending degree function of the degree of the correlation between the uncertain coefficients. A higher degree of correlation indicates a high concentration around the diagonals and consequently, the borders should be bent more as discussed in detail in [28, 29 ]. The shape of the polyhedral uncertainty set is changed based on the value of correlation ( p ) as shown in Fig.…”

Section: Ro Approach Induced By Correlated Uncertainty Setmentioning

confidence: 99%

Generation expansion planning under correlated uncertainty of mass penetration renewable energy sources

Abdalla

Adma

Ahmed

2020

IET Energy Systems Integration

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This study presents a methodology for generation expansion planning (GEP) under the presence of uncertainty of multiple renewable energy sources (RES). Both long‐ and short‐term uncertainties are represented and incorporated within the proposed GEP model. The long‐term RES uncertainty is simulated by the annual variation of the capacity credit. The short‐term uncertainty is modelled by means of the net power based on the hourly variation of RES output power and load curve. The proposed GEP model is solved through three steps. In the first step, the proposed robust GEP model is solved considering the long‐term uncertainty of the multiple RES. Short‐term uncertainty is considered when solving the GEP model in the second step. In the last step, the robustness of the obtained robust GEP model results is verified by checking the reliability criteria. A new correlated polyhedral uncertainty set is introduced considering the correlation between the different RES uncertain coefficients through its correlation matrix. Different GEP results are presented for different uncertainty scenarios. The results demonstrate that considering the correlation among uncertain coefficients provides insight for effects of correlation on investment strategies. Reserve margin is adapted to cope with uncertainty impact. Reliability criteria are verified by DIgSILENT generation adequacy tool.

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“…IGD theory becomes an attractive option to solve and understand variety of market issues due to huge volatility in electricity markets (Aien et al, 2016). These issues are optimal bidding, IPPCo's self-scheduling, bidding for electricity acquisition and favorable planning for regular clients (He et al, 2016, Jalilvand-Nejad et al, 2017, Nojavan et al, 2015a, Nojavan et al, 2015b, Vatani et al, 2018.…”

Section: Introductionmentioning

confidence: 99%

A Promising Scheme for Portfolio Selection to Gain Pragmatic Pool-based Electricity Market Returns under Uncertain Circumstances

Wattoo¹,

Feng²,

Yousif³

et al. 2018

STUD INFORM CONTROL

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The prospective trading position of an independent power production company (IPPCo) is fortified by handling its portfolio between numerous trading preferences. Owing to uncertain circumstances, the future profits of these trading preferences are estimated by applying fuzzy or probabilistic methods. Conventional schemes are usually found inappropriate in computing the uncertainty and revealing the deviation between apparent and actual market profits. Based on this deviation, a non-probabilistic Information Gap Decision (IGD) theory is applied in this paper to present the optimum scheme for IPPCo's portfolio selection. The performance of IPPCo is modeled and critically analyzed in determining its trading scheme. Numerous decisions are validated for IPPCo through various criteria in results to plump for the best outcome. The risk averting behavior of IPPCo's framework leads to offer robust decisions towards losses, whereas, its risk captivating behavior provides the facility to acquire windfall gain. The presented scheme is also corroborated through real time scenarios of PJM market.

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A Genco self-scheduling problem with correlated prices using a new robust optimization approach

Cited by 4 publications

References 26 publications

A New Robust Bidding Approach for Wind Power Producers Participating in Competitive Power Markets with Correlated Market Prices

A New Robust Bidding Approach for Wind Power Producers Participating in Competitive Power Markets with Correlated Market Prices

Generation expansion planning under correlated uncertainty of mass penetration renewable energy sources

A Promising Scheme for Portfolio Selection to Gain Pragmatic Pool-based Electricity Market Returns under Uncertain Circumstances

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