Financial risk evaluation in stochastic PBUC

Lei Wu; Mohammad Shahidehpour

doi:10.1109/TPWRS.2009.2030260

Financial risk evaluation in stochastic PBUC

Lei Wu
, Mohammad Shahidehpour

Department of Electrical and Computer Engineering

Illinois Institute of Technology

Research output: Contribution to journal › Article › peer-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 language	English
Pages (from-to)	1896-1897
Number of pages	2
Journal	IEEE Transactions on Power Systems
Volume	24
Issue number	4
DOIs	https://doi.org/10.1109/TPWRS.2009.2030260
State	Published - 2009

Keywords

Mixed-integer programming (MIP)
Risk
Stochastic unit commitment

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10.1109/TPWRS.2009.2030260

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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.",

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AB - 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.

KW - Mixed-integer programming (MIP)

KW - Risk

KW - Stochastic unit commitment

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UR - https://www.scopus.com/pages/publications/70350710037#tab=citedBy

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SP - 1896

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JO - IEEE Transactions on Power Systems

JF - IEEE Transactions on Power Systems

IS - 4

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Financial risk evaluation in stochastic PBUC

Abstract

Keywords

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