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A stochastic equilibrium approach to the reserve capacity market under the risk-aversion paradigm

Cartuyvels, Jacques
(2019)

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Details

Supervisors
Papavasiliou, Anthony
Faculty
Ecole polytechnique de Louvain
Degree label
Master [120] : ingénieur civil en mathématiques appliquées
Abstract
Variations in a two settlement market that trades both energy and reserve, first in day-ahead and then in real-time, are analysed through a stochastic equilibrium framework. This framework takes into account the real-time uncertainty and the introduction of the risk-aversion paradigm. Variations in the markets take the form of design choices, namely allowing or not virtual trading of energy in day ahead and holding or not a real time market for energy. We proposed a decomposition heuristic that iterates until convergence is reached between the resolvent of the modified risk-neutral market and the aversion problem from the day-ahead point of view. The technique is then tested on a simple market to extract general trends.