5,571 research outputs found
Chance-Constrained Equilibrium in Electricity Markets With Asymmetric Forecasts
We develop a stochastic equilibrium model for an electricity market with
asymmetric renewable energy forecasts. In our setting, market participants
optimize their profits using public information about a conditional expectation
of energy production but use private information about the forecast error
distribution. This information is given in the form of samples and incorporated
into profit-maximizing optimizations of market participants through chance
constraints. We model information asymmetry by varying the sample size of
participants' private information. We show that with more information
available, the equilibrium gradually converges to the ideal solution provided
by the perfect information scenario. Under information scarcity, however, we
show that the market converges to the ideal equilibrium if participants are to
infer the forecast error distribution from the statistical properties of the
data at hand or share their private forecasts
Commitment and Dispatch of Heat and Power Units via Affinely Adjustable Robust Optimization
The joint management of heat and power systems is believed to be key to the
integration of renewables into energy systems with a large penetration of
district heating. Determining the day-ahead unit commitment and production
schedules for these systems is an optimization problem subject to uncertainty
stemming from the unpredictability of demand and prices for heat and
electricity. Furthermore, owing to the dynamic features of production and heat
storage units as well as to the length and granularity of the optimization
horizon (e.g., one whole day with hourly resolution), this problem is in
essence a multi-stage one. We propose a formulation based on robust
optimization where recourse decisions are approximated as linear or
piecewise-linear functions of the uncertain parameters. This approach allows
for a rigorous modeling of the uncertainty in multi-stage decision-making
without compromising computational tractability. We perform an extensive
numerical study based on data from the Copenhagen area in Denmark, which
highlights important features of the proposed model. Firstly, we illustrate
commitment and dispatch choices that increase conservativeness in the robust
optimization approach. Secondly, we appraise the gain obtained by switching
from linear to piecewise-linear decision rules within robust optimization.
Furthermore, we give directions for selecting the parameters defining the
uncertainty set (size, budget) and assess the resulting trade-off between
average profit and conservativeness of the solution. Finally, we perform a
thorough comparison with competing models based on deterministic optimization
and stochastic programming.Comment: 31 page
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Modelling Dynamic Constraints in Electricity Markets and the Costs of Uncertain Wind Output
Building on models that represent inter-temporal constraints in the optimal production decisions for electricity generation,the paper analysis the resulting costs and their impact on prices during the day. We linearise the unit commitment problem to facilitate th
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