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

• Tipo: Artigo em Revista Científica Internacional
• Data: 2010

Autores

Catalao, JPS (Autor) Outra; Pousinho, HMI (Autor) Outra; Mendes, VMF (Autor) Outra

Revista

Título: International Review of Electrical Engineering-IREE

Vol. 5

Páginas: 1317-1323

ISSN: 1827-6660

Indexação

ISI Web of Knowledge - 2 Citações

Scopus - 3 Citações

Outras Informações

ID Authenticus: 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

Idioma: Inglês

Tipo (Avaliação Docente): Científica

Nº de páginas: 7