Journal article
Stochastic programming for optimizing bidding strategies of a Nordic hydropower producer
Department of Industrial Economics and Technology Management, Norwegian University of Science and Technology, NO-7491 Trondheim, Norway1
Department of Operations Research, University of Aarhus, Ny Munkegade, Bygning 1530, DK-8000 Århus C, Denmark2
From the point of view of a price-taking hydropower producer participating in the day-ahead power market, market prices are highly uncertain. The present paper provides a model for determining optimal bidding strategies taking this uncertainty into account. In particular, market price scenarios are generated and a stochastic mixed-integer linear programming model that involves both hydropower production and physical trading aspects is developed.
The idea is to explore the effects of including uncertainty explicitly into optimization by comparing the stochastic approach to a deterministic approach. The model is illustrated with data from a Norwegian hydropower producer and the Nordic power market at Nord Pool.
Language: | English |
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Publisher: | Elsevier BV |
Year: | 2006 |
Pages: | 916-928 |
ISSN: | 18726860 and 03772217 |
Types: | Journal article |
DOI: | 10.1016/j.ejor.2006.08.023 |