Article ID: | iaor20033180 |
Country: | Netherlands |
Volume: | 121 |
Issue: | 1 |
Start Page Number: | 79 |
End Page Number: | 104 |
Publication Date: | Jul 2003 |
Journal: | Annals of Operations Research |
Authors: | Ogryczak Wodzimierz, Toczyowski Eugeniusz, Kaleta Mariusz, towska Izabela |
Keywords: | programming: multiple criteria, risk |
As an active participant of a competitive energy market, the generator (the energy supplier) challenges new management decisions being exposed to the financial risk environment. There is a strong need for the decision support models and tools for energy market participants. This paper shows that the stochastic short-term planning model can be effectively used as a key analytical tool within the decision support process for relatively small energy suppliers (price-takers). A self-scheduling method for the thermal units on the energy market is addressed. A schedule acquired for given preferences can be used as a desired pattern for bidding process. The uncertainty of the market prices is modeled by a set of possible scenarios with assigned probabilities. Several risk criteria are introduced leading to a multiple criteria optimization problem. The risk criteria are well appealing and easily computable (by means of linear programming) but they meet the formal risk aversion standards. The aspiration/reservation based interactive analysis applied to the multiple criteria problem allows us to find an efficient solution (generation scheme) well adjusted to the generator preferences (risk attitude).