Financial risk evaluation in stochastic PBUC

Lei Wu, Mohammad Shahidehpour

Research output: Contribution to journalArticlepeer-review

10 Scopus citations

Abstract

This letter is an extension of our previous price-based unit commitment (PBUC) work. This letter identifies a frontier relationship between payoff and risk. This letter also discusses the calculation of target value and risk using payoff-risk frontiers. Test results show a trade-off between risk minimization and payoff maximization for power generation utilities.

Original languageEnglish
Pages (from-to)1896-1897
Number of pages2
JournalIEEE Transactions on Power Systems
Volume24
Issue number4
DOIs
StatePublished - 2009

Keywords

  • Mixed-integer programming (MIP)
  • Risk
  • Stochastic unit commitment

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