Self-commitment of combined cycle units under electricity price uncertainty

Anthony Papavasiliou (), Yi He and Alva Svoboda
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Anthony Papavasiliou: Université catholique de Louvain, CORE, Belgium
Yi He: Pacific Gas and Electric Co.
Alva Svoboda: Pacific Gas and Electric, Co.

No 2013051, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: Day-ahead energy market clearing relies on a deterministic equivalent model with a limited time horizon, which may lead to inefficient scheduling of generating units from the point of view of generators. For this reason, generators may wish to forgo the profit hedging offered by day-ahead electricity markets and assume the risk of self-committing their units with the hope of securing greater profits. This phenomenon may undermine the depth of the day-ahead market, especially in conditions of high price volatility due to deep renewable energy integration. In this paper we investigate the influence of risk aversion and price volatility on the decision of generators to self-commit units. We present a stochastic programming model for self-committing combined cycle units under price uncertainty with a conditional value at risk risk criterion. We use Bender’s decomposition to solve the problem and present results on a case study to draw conclusions.

JEL-codes: C61 C63 (search for similar items in EconPapers)
Date: 2013-10-23
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Citations: View citations in EconPapers (19)

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