The deregulation of the electricity industry has caused for the generation company (Genco) the need of tools for measuring and managing the risk, beyond the classical problem of generating unit scheduling. In this paper, a probabilistic framework for the problem of managing risk faced by Gencos trading in day-ahead energy market is proposed. In particular, a stochastic forecast of electricity price and the technical features of hydrothermal units are considered. The approach is based on an optimization procedure for maximizing expected profits in the presence of risk constraints. Conditional value at risk for the distribution of daily profit is used as risk measure.
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Dicorato et al. (2009) studied this question.
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