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Article: Risk management of generators' strategic bidding in dynamic oligopolistic electricity market using optimal control

TitleRisk management of generators' strategic bidding in dynamic oligopolistic electricity market using optimal control
Authors
Issue Date2007
PublisherThe Institution of Engineering and Technology. The Journal's web site is located at http://www.ietdl.org/IP-GTD
Citation
Iet Generation, Transmission And Distribution, 2007, v. 1 n. 3, p. 388-398 How to Cite?
AbstractHere, the risk-constrained generation decision in a dynamic oligopolistic electricity market using stochastic optimal control is studied. In this formulation, the generation competition process is modelled as a dynamic feedback system, taking into account the system demand variation and generators' adaptive behaviours. Using the proposed framework, the risk-constrained strategic bidding is investigated with stochastic optimal control. Two common methods of risk management are discussed: the min-max regret technique and the mean-variance technique. It is found that the risk-constrained decision always results in less generation. © The Institution of Engineering and Technology 2007.
Persistent Identifierhttp://hdl.handle.net/10722/74043
ISSN
2015 Impact Factor: 1.576
2015 SCImago Journal Rankings: 1.332
ISI Accession Number ID
References

 

DC FieldValueLanguage
dc.contributor.authorLiu, YFen_HK
dc.contributor.authorWu, FFen_HK
dc.date.accessioned2010-09-06T06:57:15Z-
dc.date.available2010-09-06T06:57:15Z-
dc.date.issued2007en_HK
dc.identifier.citationIet Generation, Transmission And Distribution, 2007, v. 1 n. 3, p. 388-398en_HK
dc.identifier.issn1751-8687en_HK
dc.identifier.urihttp://hdl.handle.net/10722/74043-
dc.description.abstractHere, the risk-constrained generation decision in a dynamic oligopolistic electricity market using stochastic optimal control is studied. In this formulation, the generation competition process is modelled as a dynamic feedback system, taking into account the system demand variation and generators' adaptive behaviours. Using the proposed framework, the risk-constrained strategic bidding is investigated with stochastic optimal control. Two common methods of risk management are discussed: the min-max regret technique and the mean-variance technique. It is found that the risk-constrained decision always results in less generation. © The Institution of Engineering and Technology 2007.en_HK
dc.languageengen_HK
dc.publisherThe Institution of Engineering and Technology. The Journal's web site is located at http://www.ietdl.org/IP-GTDen_HK
dc.relation.ispartofIET Generation, Transmission and Distributionen_HK
dc.titleRisk management of generators' strategic bidding in dynamic oligopolistic electricity market using optimal controlen_HK
dc.typeArticleen_HK
dc.identifier.emailWu, FF: ffwu@eee.hku.hken_HK
dc.identifier.authorityWu, FF=rp00194en_HK
dc.description.naturelink_to_subscribed_fulltext-
dc.identifier.doi10.1049/iet-gtd:20060172en_HK
dc.identifier.scopuseid_2-s2.0-34248187455en_HK
dc.identifier.hkuros132724en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-34248187455&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume1en_HK
dc.identifier.issue3en_HK
dc.identifier.spage388en_HK
dc.identifier.epage398en_HK
dc.identifier.isiWOS:000247445500003-
dc.publisher.placeUnited Kingdomen_HK
dc.identifier.scopusauthoridLiu, YF=22835324100en_HK
dc.identifier.scopusauthoridWu, FF=7403465107en_HK

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