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Stochastic optimal bid to electricity markets with environmental risk constraints
Cifuentes Rubiano, Julián
Universitat Politècnica de Catalunya. Departament d’Estadística i Investigació Operativa; Heredia, F.-Javier (Francisco Javier)
There are many factors that influence the day-ahead market bidding strategies of a generation company (GenCo) in the current energy market framework. Environmental policy issues have become more and more important for fossil-fuelled power plants and they have to be considered in their management, giving rise to emission limitations. This work allows to investigate the influence of both the allowances and emission reduction plan, and the incorporation of the derivatives medium-term commitments in the optimal generation bidding strategy to the day-ahead electricity market. Two different technologies have been considered: the coal thermal units, high-emission technology, and the combined cycle gas turbine units, low-emission technology. The Iberian Electricity Market and the Spanish National Emissions and Allocation Plans are the framework to deal with the environmental issues in the day-ahead market bidding strategies. To address emission limitations, some of the standard risk management methodologies developed for financial markets, such as Value-at-Risk (VaR) and Conditional Value at Risk (CVaR), have been extended. This study offers to electricity generation utilities a mathematical model to determinate the individual optimal generation bid to the wholesale electricity market, for each one of their generation units that maximizes the long-run profits of the utility abiding by the Iberian Electricity Market rules, the environmental restrictions set by the EU Emission Trading Scheme, as well as the restrictions set by the Spanish National Emissions Reduction Plan. The economic implications for a GenCo of including the environmental restrictions of these National Plans are analyzed and the most remarkable results will be presented.. The problem to be solved in this project will provide generationutilities with a mathematical tool to find the individual optimal generation bid for each one of theirgeneration units that maximizes the long-run profits of the utility abiding by the Iberian ElectricityMarket rules, the environmental restrictions of the EU Emission Trading Scheme and also by theSpanish National Emissions Reduction Plan
Àrees temàtiques de la UPC::Matemàtiques i estadística::Investigació operativa::Optimització
Emissions Trading Scheme
Emission allowances
Electricity market
Optimal bid Stochastic Programming
Investigació operativa -- Models matemàtics
Classificació AMS::90 Operations research, mathematical programming::90B Operations research and management science
Attribution-NonCommercial-ShareAlike 3.0 Spain
Universitat Politècnica de Catalunya

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Heredia, F.-Javier (Francisco Javier); Cifuentes Rubiano, Julián; Corchero García, Cristina