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Title:Risk penalties for enhanced reliability in co-optimized markets with uncertain generation
Author(s):Kang, Kyoungwon
Advisor(s):Shanbhag, Vinayak V.
Department / Program:Industrial&Enterprise Sys Eng
Discipline:Industrial Engineering
Degree Granting Institution:University of Illinois at Urbana-Champaign
Subject(s):Wind power
Complementarity problem
Nash game
Variational inequality
Risk penalty
Power market
Abstract:With increasing proportion of windpower, an important concern is that of maintaining the reliability of the electric grid in the face of higher supply-side volatility. In this paper, we examine the role of risk-based penalties in developing alternate designs in which firms combine energy bids associated with uncertain real-time availability with stable reserves bids. Such a study is carried out in a regime where firms have access to a day-ahead market, an uncertain real-time energy market and a reserves market. The resulting game-theoretic problem is a two-period stochastic Nash game with risk-based objectives and the associated equilibrium conditions are given by a complementarity problem. Preliminary numerical results on a 6-firm problem provide insights regarding the impact of reserves and risk penalties on wind-based generation, particularly in the face of high variability.
Issue Date:2013-08-22
Rights Information:Copyright 2013 Kyoungwon Kang
Date Available in IDEALS:2013-08-22
Date Deposited:2013-08

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