Risk Aversion in a Mixed-Integer Nonlinear Approach to Support Decision-Making for a Hydro Power Producer

• Type: Article in International Scientific Journal
• Date: 2010

Authors

Catalao, JPS (Author) Other; Pousinho, HMI (Author) Other; Mendes, VMF (Author) Other

Journal

Title: International Review of Electrical Engineering-IREE

Vol. 5

Pages: 1317-1323

ISSN: 1827-6660

Indexing

ISI Web of Knowledge - 2 Citations

Scopus - 3 Citations

Other information

Authenticus ID: P-003-713

Abstract (EN): In this paper, a mixed-integer nonlinear approach is proposed to support decision-making for a hydro power producer, considering a head-dependent hydro chain. The aim is to maximize the profit of the hydro power producer from selling energy into the electric market. As a new contribution to earlier studies, a risk aversion criterion is taken into account, as well as head-dependency. The volatility of the expected profit is limited through the conditional value-at-risk (CVaR). The proposed approach has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems. Copyright

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 7