eprintid: 1212
rev_number: 10
eprint_status: archive
userid: 6
dir: disk0/00/00/12/12
datestamp: 2012-03-05 11:06:43
lastmod: 2012-04-04 09:21:01
status_changed: 2012-03-05 11:06:43
type: book_section
metadata_visibility: show
creators_name: Puglia, Laura
creators_name: Bernardini, Daniele
creators_name: Bemporad, Alberto
creators_id: 
creators_id: daniele.bernardini@imtlucca.it
creators_id: alberto.bemporad@imtlucca.it
title: A multi-stage stochastic optimization approach to optimal bidding on energy markets
ispublished: pub
subjects: QA75
subjects: TJ
divisions: CSA
full_text_status: none
keywords: Biological system modeling , Contracts , Electricity , Modeling , Optimization , Production , Stochastic processes 
note: 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
abstract: 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.
date: 2011-12
date_type: published
publisher: IEEE
pagerange: 1509 -1514
event_title: Decision and Control and European Control Conference (CDC-ECC), 2011 50th IEEE Conference on
id_number: 10.1109/CDC.2011.6161169
refereed: TRUE
isbn: 978-1-61284-800-6 
book_title: Proceedings of the 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC)
official_url: http://ieeexplore.ieee.org/stamp/stamp.jsp?tp=&arnumber=6161169&isnumber=6159299
citation:   Puglia, Laura and Bernardini, Daniele and Bemporad, Alberto  A multi-stage stochastic optimization approach to optimal bidding on energy markets.   In:  Proceedings of the 50th IEEE Conference on Decision and Control and European Control Conference (CDC-ECC).   IEEE, 1509 -1514.  ISBN 978-1-61284-800-6       (2011)