Forward contracts for the operation of an electricity industry under spot pricing

Kaye, R.J.; Outhred, Hugh; Bannister, CH

doi:10.1109/59.49085

Cited by 107 publications

(63 citation statements)

References 1 publication

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“…As argued by Kaye et al (1990), we can justify the desire of seeking price consistency by analyzing the payments to the market players. The payment includes the day-ahead settlement plus the correction payment given at real-time prices, as is the standard practice in market operations.…”

Section: Suppliers and Consumer Paymentsmentioning

confidence: 99%

“…Substituting the flows f , F (ω) by their corresponding phase angle expressions and using the above properties we have that the stochastic clearing problem (37) can be written as …”

Section: Network Constraintsmentioning

confidence: 99%

“…In other words, M π n = 0 implies (16). Kaye et al (1990) argue that setting the day-ahead prices to the expected real-time prices (price consistency) is desirable because it effectively eliminates the day-ahead component of the market.…”

Section: Suppliers and Consumer Paymentsmentioning

confidence: 99%

“…Stochastic day-ahead clearing formulations have been proposed by Kaye et al (1990) and Wong and Fuller (2007). Kaye et al (1990) analyse day-ahead and real-time markets under uncertainty and argue that day-ahead prices should be set to expected values of the real-time prices.…”

Section: Previous Workmentioning

confidence: 99%

“…Kaye et al (1990) analyse day-ahead and real-time markets under uncertainty and argue that day-ahead prices should be set to expected values of the real-time prices. This price consistency ensures that the day-ahead market does not bias real-time market incentives in the long run.…”

Section: Previous Workmentioning

confidence: 99%

See 4 more Smart Citations

A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties

Zavala

Kim

Anitescu

et al. 2017

Operations Research

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We argue that deterministic market clearing formulations introduce arbitrary distortions between day-ahead and expected real-time prices that bias economic incentives and block diversification. We extend and analyze the stochastic clearing formulation proposed by Pritchard et al. (2010) in which the social surplus function induces penalties between day-ahead and real-time quantities. We prove that the formulation yields price distortions that are bounded by the bid prices, and we show that adding a similar penalty term to transmission flows and phase angles ensures boundedness throughout the network. We prove that when the price distortions are zero, day-ahead quantities converge to the quantile of real-time counterparts. The undesired effects of price distortions suggest that stochastic settings provide significant benefits over deterministic ones that go beyond social surplus improvements. We propose additional metrics to evaluate these benefits.

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Section: Suppliers and Consumer Paymentsmentioning

confidence: 99%

“…Substituting the flows f , F (ω) by their corresponding phase angle expressions and using the above properties we have that the stochastic clearing problem (37) can be written as …”

Section: Network Constraintsmentioning

confidence: 99%

Section: Suppliers and Consumer Paymentsmentioning

confidence: 99%

Section: Previous Workmentioning

confidence: 99%

Section: Previous Workmentioning

confidence: 99%

See 3 more Smart Citations

A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties

Zavala

Kim

Anitescu

et al. 2017

Operations Research

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Competitive Wholesale Electricity Markets

O’Malley

Liu

2001

Power System Restructuring and Deregulation

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Multi-objective decision-making framework for an electricity retailer in energy markets using lexicographic optimization and augmented epsilon-constraint

Nezhad

Ahmadi

Javadi

et al. 2015

Int. Trans. Electr. Energ. Syst.

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Summary The objective of the retailer in medium‐term planning is managing the portfolio of contracts from different sources as well as determining the optimal selling price offered to its customers. When supplying the electricity sold to the costumers, two main challenges are faced by retailers. The first problem occurs during the electricity procurement procedure. In this stage, the retailer must deal with the uncertainty due to the pool price that propels the retailers to move towards agreeing to forward contracts signed at higher average prices. Besides, when the retailer decides on selling the electricity, another problem is to face the uncertainty caused by the demand while taking into consideration the possibility of reducing its clients in the case of high selling price. In this regard, this paper proposes a stochastic multi‐objective framework for the retailer with profit maximization and risk minimization as two objective functions. The risk, due to the market price uncertainty, is modeled, employing the expected downside risk. The problem is formulated as mixed‐integer programming while the stochastic optimization problem is characterized using the roulette wheel mechanism and lattice Monte Carlo simulation. Furthermore, lexicographic optimization and augmented epsilon‐constraint method are used to solve the proposed multi‐objective problem, and the best compromise solution is determined employing a fuzzy satisfying method. The presented model has been implemented using a realistic case study to verify the effectiveness of the method used in this paper. Copyright © 2015 John Wiley & Sons, Ltd.

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Forward contracts for the operation of an electricity industry under spot pricing

Cited by 107 publications

References 1 publication

A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties

A Stochastic Electricity Market Clearing Formulation with Consistent Pricing Properties

Competitive Wholesale Electricity Markets

Multi-objective decision-making framework for an electricity retailer in energy markets using lexicographic optimization and augmented epsilon-constraint

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