Risk-constrained self-scheduling of a fuel and emission constrained power producer using rolling window procedure

Jalal Kazempour, Mohsen Parsa Moghaddam

Research output: Contribution to journalJournal articleResearchpeer-review


This work addresses a relevant methodology for self-scheduling of a price-taker fuel and emission constrained power producer in day-ahead correlated energy, spinning reserve and fuel markets to achieve a trade-off between the expected profit and the risk versus different risk levels based on Markowitz's seminal work in the area of portfolio selection. Here, a set of uncertainties including price forecasting errors and available fuel uncertainty are considered. The latter uncertainty arises because of uncertainties in being called for reserve deployment in the spinning reserve market and availability of power plant. To tackle the price forecasting errors, variances of energy, spinning reserve and fuel prices along with their covariances which are due to markets correlation are taken into account using relevant historical data. In order to tackle available fuel uncertainty, a framework for self-scheduling referred to as rolling window is proposed. This risk-constrained self-scheduling framework is therefore formulated and solved as a mixed-integer non-linear programming problem. Furthermore, numerical results for a case study are discussed. (C) 2010 Elsevier Ltd. All rights reserved.
Original languageEnglish
JournalInternational Journal of Electrical Power and Energy Systems
Issue number2
Pages (from-to)359-368
Publication statusPublished - 2011
Externally publishedYes


  • Energy Engineering and Power Technology
  • Electrical and Electronic Engineering
  • Electricity market
  • Emission allowance
  • Fuel and emission constraints
  • Rolling window procedure
  • Self-scheduling (SS)
  • Available fuels
  • Emission allowances
  • Expected profits
  • Fuel markets
  • Fuel prices
  • Historical data
  • Markowitz
  • Mixed-integer nonlinear programming
  • Numerical results
  • Portfolio selection
  • Power producer
  • Price forecasting
  • Risk levels
  • Rolling window
  • Self-scheduling
  • Spinning reserves
  • Commerce
  • Costs
  • Electric industry
  • Electric load forecasting
  • Errors
  • Flight dynamics
  • Integer programming
  • Profitability
  • Scheduling
  • Fuels
  • Power system management, operation and economics
  • Optimisation techniques
  • integer programming
  • nonlinear programming
  • power generation scheduling
  • power markets
  • risk-constrained self-scheduling
  • emission constrained power producer
  • fuel constrained power producer
  • day-ahead correlated energy
  • fuel market
  • Markowitz seminal work
  • price forecasting error
  • fuel uncertainty
  • spinning reserve market
  • rolling window procedure
  • mixed-integer nonlinear programming problem

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