On stochastic auctions in risk-averse electricity markets with uncertain supply
Optimization and Control
2020-05-01 v3
Abstract
This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk measures. We uncover a closed form characterization of a risk-averse generator's optimal pre-commitment behaviour for a given real-time policy, both with and without risk trading.
Keywords
Cite
@article{arxiv.1804.08815,
title = {On stochastic auctions in risk-averse electricity markets with uncertain supply},
author = {Ryan Cory-Wright and Golbon Zakeri},
journal= {arXiv preprint arXiv:1804.08815},
year = {2020}
}
Comments
Short form version of article, updated for submission to Operations Research Letters