Risk penalties for enhanced reliability in co-optimized markets with uncertain generation
Kang, Kyoungwon
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Permalink
https://hdl.handle.net/2142/45283
Description
Title
Risk penalties for enhanced reliability in co-optimized markets with uncertain generation
Author(s)
Kang, Kyoungwon
Issue Date
2013-08-22T16:34:38Z
Director of Research (if dissertation) or Advisor (if thesis)
Shanbhag, Vinayak V.
Department of Study
Industrial&Enterprise Sys Eng
Discipline
Industrial Engineering
Degree Granting Institution
University of Illinois at Urbana-Champaign
Degree Name
M.S.
Degree Level
Thesis
Keyword(s)
Wind power
Complementarity problem
Nash game
Variational inequality
Risk
Risk penalty
Power market
Abstract
With increasing proportion of windpower, an important concern is that of maintaining the reliability of the electric grid in the face of higher supply-side volatility. In this paper, we examine the role of risk-based penalties in developing alternate designs in which firms combine energy bids associated with uncertain real-time availability with stable reserves bids. Such a study is carried out in a regime where firms have access to a day-ahead market, an uncertain real-time energy market and a reserves market. The resulting game-theoretic problem is a two-period stochastic Nash game with risk-based objectives and the associated equilibrium conditions are given by a complementarity problem. Preliminary numerical results on a 6-firm problem provide insights regarding the impact of reserves and risk penalties on wind-based generation, particularly in the face of high variability.
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