Optimization and Systems Theory Seminar
Tuesday, June 13, 2006, 11.00-12.00, Room 3721, Lindstedtsvägen 25

Stein-Erik Fleten
Trondheim, Norge
E-mail: stein-erik.fleten@iot.ntnu.no

Stochastic Programming for Bidding and Generation Planning of a Nordic Hydropower Producer

From the point of view of a price-taking hydropower producer participating in the day-ahead power market, market prices are highly uncertain. We provide a model for determining optimal bidding and generation strategies taking into account this uncertainty. In particular, realistic market price scenarios are generated, and a stochastic mixed-integer linear programming model that takes in both production and physical trading aspects is developed. The idea is to explore the effects of including uncertainty into the optimization model, and to compare the stochastic approach to a deterministic one. The models are illustrated with data from a Norweigian hydropower producer and the Nordic power market at Nord Pool.

Co-author: Trine K. Kristoffersen, Operasjonsanalyse, IMF, Aarhus Universitet

Calendar of seminars
Last update: May 18, 2006 by Marie Lundin.