Optimal offering strategies for wind power producers considering uncertainty and risk

Catalão, João Paulo da Silva; Pousinho, Hugo Miguel Inácio; Mendes, Victor

http://hdl.handle.net/10400.21/5173

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Authors

Catalão, João Paulo da Silva

Pousinho, Hugo Miguel Inácio

Mendes, Victor

Abstract(s)

This paper provides a two-stage stochastic programming approach for the development of optimal offering strategies for wind power producers. Uncertainty is related to electricity market prices and wind power production. A hybrid intelligent approach, combining wavelet transform, particle swarm optimization and adaptive-network-based fuzzy inference system, is used in this paper to generate plausible scenarios. Also, risk aversion is explicitly modeled using the conditional value-at-risk methodology. Results from a realistic case study, based on a wind farm in Portugal, are provided and analyzed. Finally, conclusions are duly drawn.

Keywords

Artificial intelligence Forecasting Risk analysis Stochastic programming Uncertainty Wind power Value-at-risk Generation Systems Penetration Markets Search

URI

http://hdl.handle.net/10400.21/5173

Citation

CATALÃO, J. P. S.; POUSINHO, H. M. I.; MENDES, V. M. F. – Optimal offering strategies for wind power producers considering uncertainty and risk. IEEE Systems Journal. ISSN: 1932-8184. Vol. 6, nr. 2 (2012), pp. 270-277