Risk penalties for enhanced reliability in co-optimized markets with uncertain generation

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.

Name thesis:degree_name

M.S.

Level thesis:degree_level

Thesis

Discipline thesis:degree_discipline

Industrial Engineering

Grantor

University of Illinois at Urbana-Champaign

Year dc:date

2013

Author dc:creator

• Kang, Kyoungwon

Contributors dc:contributor

• Shanbhag, Vinayak V.

• Wind power
• Complementarity problem
• Nash game
• Variational inequality
• Risk
• Risk penalty
• Power market

Statement dc:rights

• Copyright 2013 Kyoungwon Kang

Language dc:language

eng

Handle dc:identifier

http://hdl.handle.net/2142/45283

OAI identifier oai:identifier

oai:www.ideals.illinois.edu:2142/45283