Value at risk approach to producer's best response in an electricity market with uncertain demand
The result's identifiers
Result code in IS VaVaI
<a href="https://www.isvavai.cz/riv?ss=detail&h=RIV%2F67985556%3A_____%2F23%3A00557719" target="_blank" >RIV/67985556:_____/23:00557719 - isvavai.cz</a>
Alternative codes found
RIV/00216208:11320/23:10452257 RIV/61384399:31160/23:00058087
Result on the web
<a href="https://www.tandfonline.com/doi/full/10.1080/02331934.2022.2076232" target="_blank" >https://www.tandfonline.com/doi/full/10.1080/02331934.2022.2076232</a>
DOI - Digital Object Identifier
<a href="http://dx.doi.org/10.1080/02331934.2022.2076232" target="_blank" >10.1080/02331934.2022.2076232</a>
Alternative languages
Result language
angličtina
Original language name
Value at risk approach to producer's best response in an electricity market with uncertain demand
Original language description
We deal with several sources of uncertainty in electricity markets. The independent system operator (ISO) maximizes the social welfare using chance constraints to hedge against discrepancies between the estimated and real electricity demand. We find an explicit solution to the ISO problem and use it to tackle the problem of a producer. In our model, production, as well as the income of a producer, are determined based on the estimated electricity demand predicted by the ISO, which is unknown to producers. Thus, each producer is hedging against the uncertainty of the prediction of the demand using the value-at-risk approach. To illustrate our results, a numerical study of a producer's best response given a historical distribution of both estimated and real electricity demand is provided.
Czech name
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Czech description
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Classification
Type
J<sub>imp</sub> - Article in a specialist periodical, which is included in the Web of Science database
CEP classification
—
OECD FORD branch
10102 - Applied mathematics
Result continuities
Project
Result was created during the realization of more than one project. More information in the Projects tab.
Continuities
I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace
Others
Publication year
2023
Confidentiality
S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů
Data specific for result type
Name of the periodical
Optimization
ISSN
0233-1934
e-ISSN
1029-4945
Volume of the periodical
72
Issue of the periodical within the volume
11
Country of publishing house
DE - GERMANY
Number of pages
23
Pages from-to
2745-2767
UT code for WoS article
000796440200001
EID of the result in the Scopus database
2-s2.0-85130531084