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Document Type:Latin Dissertation
Language of Document:English
Record Number:52373
Doc. No:TL22327
Call number:‭3254374‬
Main Entry:Tao Li
Title & Author:Competition and risk management in power marketsTao Li
College:Illinois Institute of Technology
Date:2006
Degree:Ph.D.
student score:2006
Page No:163
Abstract:In restructured power systems, each market participant would try to maximize its own potential profit while keeping the associated risk within an acceptable level. The competition problem for a market participant in the transmission-constrained energy market and the financial transmission right (FTR) auction market is modeled as an incomplete information game and sensitivities method is applied to find the Bayesian Nash equilibrium. The mean-variance approach is applied to model risk in the FTR auction market. Price-based unit commitment could also be applied to develop bidding strategies for market participants while satisfying the prevailing unit constraints. Mixed integer programming (MIP) and Lagrangian relaxation (LR) are the two prevailing approaches to solve the problem. The comparison of MIP and LR solution is addressed in details. The uncertainty of market prices are considered using Monte Carlo simulation and the scenario reduction techniques are utilized to reduce the number of scenarios. The expected downside risk approach is applied to provide a closed-loop solution in the sense of maximizing the expected payoff and minimizing the associated risk for the market participant. The potential simultaneous arbitrage strategies among multi-markets under uncertainty of market prices are also explored in details.
Subject:Applied sciences; Power markets; Risk management; Electrical engineering; 0544:Electrical engineering
Added Entry:M. Shahidehpour
Added Entry:Illinois Institute of Technology