Info-gap approach to manage GenCo's trading portfolio with uncertain market returns

P. Mathuria, R. Bhakar

Research output: Contribution to journalArticle

9 Citations (Scopus)
122 Downloads (Pure)

Abstract

An independent generation company (GenCo) secures its future trading position by managing its portfolio among multiple trading options. Future returns of these trading options are not known during decision making and are traditionally estimated using probabilistic or fuzzy methods. Quantifying such uncertainty of market returns by conventional methods does not reflect the information gap existing between estimated and actual market returns. Based on quantification of this information gap, the paper proposes GenCo's portfolio optimization using a non-probabilistic Information Gap Decision Theory (IGDT). This framework comprehensively models GenCo's behavior in deciding its trading strategy. Considering GenCo's risk-averse behavior, the framework provides decisions that are robust towards losses, while considering its risk-seeking behavior the framework offers opportunity to capture windfall gains. The proposed approach has been validated through practical case study of PJM market.

Original languageEnglish
Pages (from-to)2916-2925
Number of pages10
JournalIEEE Transactions on Power Systems
Volume29
Issue number6
Early online date6 May 2014
DOIs
Publication statusPublished - Nov 2014

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Keywords

  • Generation company (GenCo)
  • information gap decision theory
  • portfolio optimization
  • uncertainty

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