Decision making under uncertainty in electricity markets

DOI10.1007/978-1-4419-7421-1MaRDI QIDQ992772zbMATH OpenOpenAlexFDO

Authors J. Martínez

Publication date 10 September 2010

Published in International Series in Operations Research & Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/978-1-4419-7421-1

zbMATH Keywords

decision makingelectricity marketenergyfutures marketmarket clearingprofit/costrisk controlstochastic processesuncertainty

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Stochastic programming (90C15) Research exposition (monographs, survey articles) pertaining to game theory, economics, and finance (91-02) Microeconomic theory (price theory and economic markets) (91B24) Actuarial science and mathematical finance (91G99)

Review text

This book includes a number of stochastic programming models for optimal decision making under uncertainty in electricity markets. Risk control is embedded into most of the presented models, which involve producers, retailers, consumers, and the market/system operators. Particular attention is paid to electric energy systems with a large integration of non-dispatchable sources, such as wind power plants. The authors also concentrate on electric energy long-term markets, such as futures markets. To clear a day-ahead electricity market involving both energy and reserve, they describe a multicommodity market-clearing procedure based on stochastic programming. Being adapted for both teaching and learning purposes, this book contains a lot of examples, the list of references includes 143 works.

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• Capacity expansion and forward contracting in a duopolistic power sector
• A survey of stochastic modelling approaches for liberalised electricity markets

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