Resumen de Medium-term decision making for consumers, retailers, and producers in electricity markets via stochastic programming
For a medium-term horizon, electricity agents must decide their positions in the futures market and their involvement in bilateral contracting in order to hedge against the risk caused by pool price volatility, An important observation is that consumers, retailers, and producers require precise knowledge of pool prices throughout the period spanned by the forward and bilateral contracts to make informed decisions about these contracts.
The main objective of this thesis is to provide decision-making tools for consumers, retailers, and producers that allow making informed decisions within a medium-term planning horizon while explicitly considering uncertain prices and demands.
Specifically, the problems tackled in this thesis are stated below:
- Consumer problem:
We consider a large consumer of electricity that seeks to select the bilateral contracts to sign in order to minimize its total expected procurement cost. Once bilateral contracting decisions are made, the consumer decides on its involvement in the pool. Future pool prices are considered uncertain and independent of the consumer actions.
- Retailer problem:
We consider a retailer that has to determine its forward contract portfolio and the selling price to be offered to its potential clients. The retailer must cope with uncertain pool prices and client demands, as well as the possibility that clients might choose a different supplier if the selling price offered by the retailer is not sufficiently competitive. After deciding the futures market involvement and selecting the selling price, the retailer must determine its purchases and sales in the pool.
- Producer problem:
We consider a producer that seeks to determine its forward contract portfolio considering uncertain future pool prices. Once futures market positions are determined, the producer must decide how to operate its generating units and its involvement in the pool.
The main difficulty of these problems lies in uncertainty modeling. Since the objective is to determine the bilateral contract involvement and the participation in the futures market to hedge against the volatility of pool prices, the modeling of the uncertainty is crucial.
In this thesis stochastic programming models have been used to formulate the problems previously presented. Stochastic programming provides an appropriate modeling framework in which problems of decision making under uncertainty are adequately formulated.
Once the uncertain parameters are modeled using discrete or continuous distribution functions, it is possible to formulate a mathematical programming problem that takes into account the uncertainty of these parameters.
Realistic and illustrative case studies are provided in order to test the performance of the models proposed in this thesis.
