Decision-making model for risk management of cascade hydropower stations

作     者：Pan, Bangchuan Chi, Hong Xu, Jianguo Qi, Mingliang 

作者机构：Institute of Policy and Management Chinese Academy of Sciences Beijing 100190 China Graduate University Chinese Academy of Sciences Beijing 100049 China 

出 版 物：《Journal of Southeast University(English Edition)》 (东南大学学报（英文版）)

年 卷 期：2008年第24卷第S1期

页      面：22-26页

核心收录：

学科分类：0202[经济学-应用经济学] 02[经济学] 020205[经济学-产业经济学] 

基　　金：The National Natural Science Foundation of China (No.50579101) 

主　　题：cascade hydropower station mixed integer nonlinear programming risk management medium-term electricity market 

摘      要：In a medium-term electricity market,in order to reduce the risks of price and inflow uncertainties, the cascade hydropower stations may use the options contract with electricity supply companies. A profit-based model for risk management of cascade hydropower stations in the medium-term electricity market is presented. The objective function is profit maximization of cascade hydropower stations. In order to avoid the risks of price and inflow uncertainties, two different risk-aversion constraints: a minimum profit constraint and a minimum conditional value-at-risk, are introduced in the model. In addition, the model takes into account technology constraints of the generating units, which includes reservoir flow balance, reservoir capacity limits, water discharge constraints, etc. The model is formulated as a mixed integer nonlinear programming problem. Because the search space of the solution is very large, a genetic algorithm is used to deal with the problem.