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Séminaire des thésards 17 octobre

Hydro bidding under uncertainty

Geographies such as Europe, New Zealand, Great Britain, Nordic countries, Australia and North America have decentralised their electric power systems. They mostly operate in a wholesale spot electricity markets to determine the price of electricity. The common configuration of these markets involve a day-ahead market to determine the most economical dispatch and an intra-day balancing market to economically adjust the dispatch with respect to the real-time changes in demand, renewable generation and station disruptions. In a market environment electricity producer firms compete to supply electricity to the national grid. A major challenge for hydroelectric producers participating in an electricity market is supplying offers, which maximises the monetary value of the water. Hydro stations face the complexity in estimating their marginal cost, with respect to the future opportunity cost of generation because of their ability to store the water for later use. The challenge to making this trade-off is around the uncertainty of the market, which naturally lends itself to a newly emerging optimisation problem called hydro bidding under uncertainty. Hydro bidding under uncertainty is about producing optimal offer policies for a firm into a market that maximises the value to the firm while meeting the operational constraints of their hydro scheme. In this presentation I will discuss in general the hydro bidding optimisation problem and the associated mathematical challenges that make these problems hard to solve numerically.

CMAP UMR 7641 École Polytechnique CNRS, Route de Saclay, 91128 Palaiseau Cedex France, Tél: +33 1 69 33 46 23 Fax: +33 1 69 33 46 46