Montag, 13. November 2017, 16:45 - 17:45 iCal

ISOR Colloquium

"Strategic Bidding for a Price-Maker Hydroelectric Producer

(joint work with Gregory Steeger and Timo Lohmann)"

Speaker: Steffen Rebennack (KIT, Karlsruhe)

Sky Lounge OMP1, 12th floor
Oskar-Morgenstern-Platz 1, 1090 Wien

Vortrag

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In bid-based markets, energy producers seek bidding strategies that maximize their revenue. In this talk, we seek the maximum-revenue bidding schedule for a single price-maker hydroelectric producer. We assume the producer sells energy in the day-ahead electricity market and has the

ability to impact the market-clearing price with its bids. Our approach models the price-maker hydroelectric producer’s bidding decision via a combination of Stochastic Dual Dynamic Programming and Lagrangian relaxation. In this framework, we dualize the water balance equations, allowing an exact representation of the non-concave immediate revenue function, while preserving the concave shape of the future revenue function. We model inflow uncertainty and its stagewise dependence by a periodic autoregressive model. To demonstrate our approaches’ utility, we model Honduras’ electricity market assuming that the thermal producers act as price takers and that one price-maker hydro producer operates all of the hydroelectric plants.

Zur Webseite der Veranstaltung

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Veranstalter

Institut für Statistik und Operations Research

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Kontakt

Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651
vera.lehmwald@univie.ac.at

Erstellt am Mittwoch, 04. Oktober 2017, 11:15
Letzte Änderung am Montag, 09. Oktober 2017, 09:45