Risk-Constrained Self-Scheduling of a Thermal Power Producer

Abstract

This paper addresses the self-scheduling problem of a price-taker power producer. It focuses on risk modeling, emphasizing the tradeoff existing between maximum profit and minimum risk. The paper analyzes a self-scheduling model that considers simultaneously profit and risk. This model is formulated as a mixed-integer quadratic programming problem, which is solved using commercially available software. Relevant results from a realistic case study are discussed. Index Terms-Pool-based electricity market, price-taker power producer, profit versus risk tradeoff, risk-constrained self-scheduling. NOMENCLATURE Variables: Production cost during hour. Power production during hour. Total revenue. covariance matrix of random variables. Market-clearing price of hour (random variable). Vector of the (24) prices for day. Constants: Number of days for which true and estimate prices are available. Considered time periods in one day (typically 24). Factor used to estimate the covariance matrix. Weighting factor to incorporate risk into the expected profit objective function. Feasible operating region of the generating machine. Miscellaneous: Expected value operator with respect to random variables. Variance operator with respect to random variables. est Superscript that indicates estimate value. true Superscript that indicates true value. exp Superscript that indicates expected value.

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