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Golmakani M, Rajabi Mashhadi H. Determination of Optimal Quantity of Bilateral Forward Contracts in Power Market: An Analytical Approach. Journal of Iranian Association of Electrical and Electronics Engineers 2016; 13 (2) :153-162
URL: http://jiaeee.com/article-1-72-en.html
Abstract:   (4660 Views)

Due to volatility of spot power prices and in order to manage risk of a Generating Company (GenCo), this paper addresses determination of optimal quantity of bilateral forward contracts which can be formulated as an optimization problem. In this framework, in addition to selling electricity to spot market, bilateral forward contracts can be traded between Gencos and customers. Finding an optimal trade-off between quantity of selling power to the forward market and the spot market is an important decision making problem. In this paper, considering spot price uncertainty and according to the definite forward contract price an analytical method is utilized to solve this stochastic optimization problem in the Pay-as-Bid auction. The Lagrange multiplier method is used to obtain numerical solutions for optimal amounts of energy which should be sold on the forward market and spot market. Finally, the effect of uncertainty in the spot market price and cost function coefficients of the studied GenCo on the optimization problem results have  been investigated using a sensitivity analysis.   

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Type of Article: Research | Subject: Power
Received: 2017/02/1 | Accepted: 2017/02/1 | Published: 2017/02/1

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