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Risk management of generators' strategic bidding in dynamic oligopolistic electricity market using optimal control

Risk management of generators' strategic bidding in dynamic oligopolistic electricity market using optimal control

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  • Author(s): Y.F. Liu 1  and  F.F. Wu 2
    • View affiliations
    • Affiliations: 1: Dispatch Center, State Grid Jiang Xi Electric Power Corporation, NanChang, People's Republic of China
      2: Department of Electrical and Electronic Engineering, Hong Kong University, Hong Kong
  • Source: Volume 1, Issue 3, May 2007, p. 388 – 398
    DOI:  10.1049/iet-gtd:20060172 , Print ISSN 1751-8687, Online ISSN 1751-8695
© The Institution of Engineering and Technology
Published

Here, the risk-constrained generation decision in a dynamic oligopolistic electricity market using stochastic optimal control is studied. In this formulation, the generation competition process is modelled as a dynamic feedback system, taking into account the system demand variation and generators' adaptive behaviours. Using the proposed framework, the risk-constrained strategic bidding is investigated with stochastic optimal control. Two common methods of risk management are discussed: the min–max regret technique and the mean–variance technique. It is found that the risk-constrained decision always results in less generation.

Inspec keywords: power generation economics; risk management; optimal control

Other keywords: dynamic oligopolistic electricity market; min-max regret technique; mean variance technique; stohastic optimal control; strategic bidding; power generator risk management

Subjects: Power system management, operation and economics

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