TY  - CHAP
TI  - A multi-stage stochastic optimization approach to optimal bidding on energy markets
AV  - none
Y1  - 2011/12//
KW  - Biological system modeling 
KW  -  Contracts 
KW  -  Electricity 
KW  -  Modeling 
KW  -  Optimization 
KW  -  Production 
KW  -  Stochastic processes 
UR  - http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=6161169&isnumber=6159299
A1  - Puglia, Laura
A1  - Bernardini, Daniele
A1  - Bemporad, Alberto
SN  - 978-1-61284-800-6 
PB  - IEEE
SP  - 1509 
N2  - One of the most challenging tasks for an energy producer is represented by the optimal bidding on energy markets. Each eligible plant has to submit bids for the spot market one day before the delivery time and bids for the ancillary services provision. Allocating the optimal amount of energy, jointly minimizing the risk and maximizing profits is not a trivial task, since one has to face several sources of stochasticity, such as the high volatility of energy prices and the uncertainty of the production, due to the deregulation and to the growing importance of renewable sources. In this paper the optimal bidding problem is formulated as a multi-stage optimization problem to be solved in a receding horizon fashion, where at each time step a risk measure is minimized in order to obtain optimal quantities to bid on the day ahead market, while reserving the remaining production to the ancillary market. Simulation results show the optimal bid profile for a trading day, based on stochastic models identified from historical data series from the Italian energy market.
N1  - This work was partially supported by the HYCON2: Highly-complex and networked control systems, Network of Excellence, FP7-IST contract no. 257462 and by the European project E-PRICE: Price-based Control of Electrical Power Systems, FP7-IST contract no. 249096
ID  - eprints1212
T2  - Proceedings of the 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC)
EP  - 1514
ER  -