Info-gap approach to manage GenCo's trading portfolio with uncertain market returns

Abstract

An independent Generation Company (GenCo) secures its future trading position by managing its portfolio among multiple trading options. Future returns of these trading options are not known during decision making and are traditionally estimated using probabilistic or fuzzy methods. Quantifying such uncertainty of market returns by conventional methods does not reflect the information gap existing between estimated and actual market returns. Based on quantification of this information gap, the paper proposes GenCo's portfolio optimization using a non-probabilistic Information Gap Decision Theory (IGDT). This framework comprehensively models GenCo's behavior in deciding its trading strategy. Considering GenCo's risk-averse behavior, the framework provides decisions that are robust towards losses, while considering its risk-seeking behavior the framework offers opportunity to capture windfall gains. The proposed approach has been validated through practical case study of PJM market. Index Terms-GenCo, information gap decision theory, portfolio optimization, uncertainty. I. NOMENCLATURE A. Indices , ij Index of trading contract k Index of trading interval B. Parameters a No-load heat-rate coefficient in MW b Linear heat-rate coefficient in MW/MBtu c Quadratic heat-rate coefficient in MW/MBtu 2 , ik LMP LMP of trading area i in k th trading interval M Considered time horizon or planning period n Number of locations , Min ik p Minimum trading limit for contract i in k th trading interval , Max ik p Maximum trading limit for contract i in k th trading interval r Set of uncertain returns from contracts (1~)

Short-Term Self-Scheduling of Virtual Energy Hub Plant Within Thermal Energy Market

“…It can be used to carry out a robust decision against intense uncertain nature of the problem parameters [35]. IGDT is a non-probabilistic method that optimizes in a way to be immune again low benefits and windfall gains [36]. In this paper, an IGDT model is developed for dealing with the VEH plant with WPG uncertainty.…”

Energy management strategy for a short‐route hybrid cruise ship: an IGDT‐based approach

“…By the proposed IGDT-based optimal travel arrangement of the ship, the proposed model guarantees the cost-effective and reliable operation of the system. In this regard, the uncertain loads are modelled by the IGDT-based approach as (32) where the risk-seeker and riskaverse strategies can be taken by HCS to face unpredictable loading conditions [24] , and β are the forecasted load, uncertain parameter related to load and horizon of uncertainty, respectively.…”

Risk‐constrained scheduling of solar‐based three state compressed air energy storage with waste thermal recovery unit in the thermal energy market environment

“…Incomes of the selling electricity and thermal energy in the energy market are given by (31) and (32), respectively [31].…”

“…By the proposed IGDT method, decision-maker designates the target benefit and the IGDT model guarantees the objective by maximising the uncertainty horizon. The solar-based TS-CAES plant can immune itself against low benefits and windfall gains using non-probabilistic IGDT method [32]. Uncertain parameters can be modelled differently in the IGDT method [33].Here, the uncertainty related to solar farm generation is modelled by IGDT methodology.…”