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Mathematics > Optimization and Control

arXiv:1804.08815 (math)
[Submitted on 24 Apr 2018 (v1), last revised 25 Jun 2019 (this version, v3)]

Title:On stochastic auctions in risk-averse electricity markets with uncertain supply

Authors:Ryan Cory-Wright, Golbon Zakeri
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Abstract:This paper studies risk in a stochastic auction which facilitates the integration of renewable generation in electricity markets. We model market participants who are risk averse and reflect their risk aversion through coherent risk measures. We uncover a closed form characterization of a risk-averse generator's optimal pre-commitment behaviour for a given real-time policy, both with and without risk trading.
Comments: Short form version of article, updated for submission to Operations Research Letters
Subjects: Optimization and Control (math.OC)
MSC classes: 90C15, 90C33, 91B30, 90C90
Cite as: arXiv:1804.08815 [math.OC]
  (or arXiv:1804.08815v3 [math.OC] for this version)
  https://doi.org/10.48550/arXiv.1804.08815
Journal reference: Operations Research Letters (2020)
Related DOI: https://doi.org/10.1016/j.orl.2020.04.009

Submission history

From: Ryan Cory-Wright [view email]
[v1] Tue, 24 Apr 2018 02:38:02 UTC (35 KB)
[v2] Sat, 20 Oct 2018 21:28:45 UTC (33 KB)
[v3] Tue, 25 Jun 2019 03:07:00 UTC (34 KB)
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