KIEE International Transactions on Power Engineering

The Korean Institute of Electrical Engineers (대한전기학회)
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Optimal Generation Asset Arbitrage In Electricity Markets

  • Shahidehpour Mohammad (Electrical and Computer Engineering Department Illinois Institute of Technology) ;
  • Li Tao (Electrical and Computer Engineering Department Illinois Institute of Technology) ;
  • Choi Jaeseok (Dept. of Electrical Engineering Gyeonsang National University)
  • Published : 2005.12.01
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Abstract

A competitive generating company (GENCO) could maximize its payoff by optimizing its generation assets. This paper considers the GENCO's arbitrage problem using price-based unit commitment (PBUC). The GENCO could consider arbitrage opportunities in purchases from qualifying facilities (QFs) as well as simultaneous trades with spots markets for energy, ancillary services, emission, and fuel. Given forecasted hourly market prices for each market, the GENCO's generating asset arbitrage problem is formulated as a mixed integer program (MIP) and solved by a branch-and-cut algorithm. A GENCO with 54 thermal and 12 combined-cycle units is considered for analyzing the proposed formulation. The proposed case studies illustrate the significance of simultaneous arbitrage by applying PBUC to multi-commodity markets.

Keywords

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