Value at risk approach to producer's best response in an electricity market with uncertain demand

Kód výsledku v 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>

Nalezeny alternativní kódy

RIV/00216208:11320/23:10452257 RIV/61384399:31160/23:00058087

Výsledek na webu

<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>

Jazyk výsledku

angličtina

Název v původním jazyce

Value at risk approach to producer's best response in an electricity market with uncertain demand

Popis výsledku v původním jazyce

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.

Název v anglickém jazyce

Value at risk approach to producer's best response in an electricity market with uncertain demand

Popis výsledku anglicky

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.

Druh

J_imp - Článek v periodiku v databázi Web of Science

CEP obor

—

OECD FORD obor

10102 - Applied mathematics

Projekt

Výsledek vznikl pri realizaci vícero projektů. Více informací v záložce Projekty.

Návaznosti

I - Institucionalni podpora na dlouhodoby koncepcni rozvoj vyzkumne organizace

Rok uplatnění

2023

Kód důvěrnosti údajů

S - Úplné a pravdivé údaje o projektu nepodléhají ochraně podle zvláštních právních předpisů

Název periodika

Optimization

ISSN

0233-1934

e-ISSN

1029-4945

Svazek periodika

72

Číslo periodika v rámci svazku

11

Stát vydavatele periodika

DE - Spolková republika Německo

Počet stran výsledku

23

Strana od-do

2745-2767

Kód UT WoS článku

000796440200001

EID výsledku v databázi Scopus

2-s2.0-85130531084