Multiband Robust Optimization for optimal energy offering under price uncertainty

Session : ORB / Optimisation Robuste
Mercredi 10 février 11:00 - 12:20 Salle : RP12
Fabio D'Andreagiovanni, Giovanni Felici et Fabrizio Lacalandra

We consider the optimization problem of a price-taker generating company that operates in a competitive electricity market and wants to select energy offering strategies for its generation units, with the aim of maximizing the profit while considering the uncertainty of market price. We review reference methods based on the use of Robust Optimization (RO) available in literature about this problem, pointing out critical issues that severely limit their application in practice and we then show how RO should be correctly applied. The new RO method that we propose is based on Multiband Robustness (Busing and D'Andreagiovanni, 2012), a new model for RO introduced to generalize and refine the classical Gamma-Robustness model by Bertsimas and Sim, while maintaining its accessibility and computational tractability. Computational tests on instances provided by our industrial partners show that our new method can grant a very high increase in profit with respect to benchmark methods.

Mots clés : Energy offering, Price-taker, Price Uncertainty, Quadratic Mixed Integer Programming, Robust Optimization