The paper develops a typical management problem of a large power producer (i.e., he can partly influence the market price). In particular, he routinely needs to decide how much of his generation it is preferable to commit to fixed price bilateral contracts (e.g., futures) or to the spot market. However, he also needs to plan how to distribute the production across the different plants under his control. The two decisions, namely the sales-mix and the generation plan, naturally interact, since the opportunity to influence the spot price depends, among other things, by the amount of the energy that the producer directs on the spot market. We develop a risk management problem, since we consider an optimization problem combining a trade-off between expectation and conditional value at risk of the profit function of the producer. The sources of uncertainty are relatively large and encompass demand, renewables generation and the fuel costs of conventional plants. We also model endogenously the price of futures in a way reflecting an information advantage of a large power producer. In particular, it is assumed that the market forecast the price of futures in a naive way, namely not anticipating the impact of the large producer on the spot market. The paper provides a MILP formulation of the problem, and it analyzes the solution through a simulation based on Spanish power market data.
翻译:该文件提出了一个大型电力生产商典型的管理问题(即他可以部分影响市场价格)。特别是,他经常需要决定他这一代人究竟愿意承诺签订固定价格双边合同(例如期货)还是向现货市场承诺,然而,他也需要计划如何在他控制下的不同工厂中分配生产,这两项决定,即销售混合和发电计划,自然地相互作用,因为影响现货价格的机会取决于生产者在现货市场上引导的能源量。我们有一个风险管理问题,因为我们考虑的是优化问题,将预期与有条件价值之间的交易与生产者盈利功能的风险结合起来。不确定性的来源相对较大,包括需求、可再生能源的产生和传统工厂的燃料成本。我们还以反映大型电力生产商信息优势的方式,以本地方式模拟期货价格。我们特别假设市场以天真的方式预测未来价格,即不预测西班牙电力公司在现货市场上的模拟问题。