On stochastic auctions in risk-averse electricity markets with uncertain supply

被引：4
|
作者：
Cory-Wright, Ryan [1 ]
Zakeri, Golbon [2 ,3 ]
机构：
[1] MIT, Operat Res Ctr, 77 Massachusetts Ave, Cambridge, MA 02139 USA
[2] Univ Auckland, Dept Engn Sci, Auckland, New Zealand
[3] Univ Auckland, Energy Ctr, Auckland, New Zealand
来源：
OPERATIONS RESEARCH LETTERS | 2020年 / 48卷 / 03期
关键词：
OR in energy; Stochastic programming; Risk-aversion; Risky equilibria; COHERENT MEASURES;
D O I：
10.1016/j.orl.2020.04.009
中图分类号：
C93 [管理学]; O22 [运筹学];
学科分类号：
070105 ; 12 ; 1201 ; 1202 ; 120202 ;
摘要：
This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk measures. We uncover a closed form characterization of a risk-averse generator's optimal pre-commitment behaviour for a given real-time policy, both with and without risk trading. (C) 2020 Elsevier B.V. All rights reserved.
引用
收藏
页码：376 / 384
页数：9
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