Risk-Constrained Self-Scheduling and Forward Contracting Under Probabilistic-Possibilistic Uncertainties

Regarding the restructuring in the electricity industry and increasing growth of generation companies (Gencos) and investments in this industry, self-scheduling (SS) has become one of the major issues in the competitive energy market. The various target markets and diverse choices that these companies confronting are among the challenges that affect the process of maximizing profit. Another challenge for these companies is the presence of uncertain parameters in this kind of problems. This paper presents probabilistic-possibilistic self-scheduling (PPSS) of a power producer to participate in energy and spinning reserve markets in the presence of future market contracts. The uncertainty associated with energy and spinning reserve prices as well as forced outages of generating units is modeled via stochastic scenarios. In order to model the uncertain nature of energy delivery request in the spinning reserve market a possibilistic approach has been considered in the proposed model. Due to existing uncertainties in the SS problem, a risk aversion model named Conditional Value-at-risk is considered in this problem. The proposed framework is able to diminish the risk associated with joint probabilistic and possibilistic uncertainties. Eventually, pertaining outcomes are properly drawn.