dc.contributor |
Universitat Politècnica de Catalunya. Departament d'Estadística i Investigació Operativa |
dc.contributor |
Universitat Politècnica de Catalunya. GNOM - Grup d'Optimització Numèrica i Modelització |
dc.contributor.author |
Heredia, F.-Javier (Francisco Javier) |
dc.contributor.author |
Cifuentes Rubiano, Julián |
dc.contributor.author |
Corchero García, Cristina |
dc.date |
2013-09-30 |
dc.identifier.citation |
Heredia, F.; Cifuentes, J.; Corchero, C. "Stochastic optimal generation bid to electricity markets with emission risk constraints". 2013. |
dc.identifier.uri |
http://hdl.handle.net/2117/20640 |
dc.language.iso |
eng |
dc.rights |
Attribution-NonCommercial-NoDerivs 3.0 Spain |
dc.rights |
info:eu-repo/semantics/openAccess |
dc.rights |
http://creativecommons.org/licenses/by-nc-nd/3.0/es/ |
dc.subject |
Àrees temàtiques de la UPC::Matemàtiques i estadística::Probabilitat |
dc.subject |
Stochastic processes |
dc.subject |
OR in Energy |
dc.subject |
Stochastic Programming |
dc.subject |
Risk Management |
dc.subject |
Electricity market |
dc.subject |
Emission reduction |
dc.subject |
Processos estocàstics |
dc.subject |
60G Stochastic processes |
dc.title |
Stochastic optimal generation bid to electricity markets with emission risk constraints |
dc.type |
info:eu-repo/semantics/submittedVersion |
dc.type |
info:eu-repo/semantics/report |
dc.description.abstract |
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 investigating the influence of the 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
(MIBEL) and the Spanish National Emission Reduction Plan (NERP) defines the environmental
framework to deal with by 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 Valueat-
Risk (CVaR), have been extended giving rise to the new concept of Conditional
Emission at Risk (CEaR). 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, as well as the environmental
restrictions set by the Spanish National Emissions Reduction Plan. The
economic implications for a GenCo of including the environmental restrictions of this
National Plan are analyzed, and the effect of the NERP in the expected profits and
optimal generation bid are analyzed. |