Equilibrium, uncertainty and risk in hydro-thermal electricity systems
| العنوان: | Equilibrium, uncertainty and risk in hydro-thermal electricity systems |
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| المؤلفون: | Michael C. Ferris, Roger J.-B. Wets, Andy Philpott |
| المصدر: | Mathematical Programming. 157:483-513 |
| بيانات النشر: | Springer Science and Business Media LLC, 2016. |
| سنة النشر: | 2016 |
| مصطلحات موضوعية: | 021103 operations research, Risk aversion, 020209 energy, General Mathematics, Partial equilibrium, 0211 other engineering and technologies, 02 engineering and technology, Competitive equilibrium, Risk neutral, Microeconomics, Common knowledge, 0202 electrical engineering, electronic engineering, information engineering, Common value auction, Perfect competition, Hedge (finance), Software, Mathematics |
| الوصف: | The correspondence of competitive partial equilibrium with a social optimum is well documented in the welfare theorems of economics. These theorems can be applied to single-period electricity pool auctions in which price-taking agents maximize profits at competitive prices, and extend naturally to standard models with locational marginal prices. In hydro-thermal markets where the auctions are repeated over many periods, agents seek to optimize their current and future profit accounting for future prices that depend on uncertain inflows. This makes the agent problems multistage stochastic optimization models, but perfectly competitive partial equilibrium still corresponds to a social optimum when all agents are risk neutral and share common knowledge of the probability distribution governing future inflows. The situation is complicated when agents are risk averse. In this setting we show under mild conditions that a social optimum corresponds to a competitive market equilibrium if agents have time-consistent dynamic coherent risk measures and there are enough traded market instruments to hedge inflow uncertainty. We illustrate some of the consequences of risk aversion on market outcomes using a simple two-stage competitive equilibrium model with three agents. |
| تدمد: | 1436-4646 0025-5610 |
| الوصول الحر: | https://explore.openaire.eu/search/publication?articleId=doi_________::0a8292b36628c0987748c77236b0612bTest https://doi.org/10.1007/s10107-015-0972-4Test |
| حقوق: | OPEN |
| رقم الانضمام: | edsair.doi...........0a8292b36628c0987748c77236b0612b |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 14364646 00255610 |
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