GOM Seminar: Fabio d’Andreagiovanni, Tuesday, June 21st 2016 – Zero-price Energy Offering by Multiband Robust Optimization

Date: June, 21st, 11h30

Place: ULB Bruxelles

Abstract: We consider the problem of a price-taker generating company that wants to select energy offering strategies for its generation units, to maximize the profit while considering the uncertainty of market price.
First, we review central references available in literature about the use of Robust Optimization (RO) for price-uncertain energy offering, pointing out how they can expose to the risk of suboptimal and even infeasible offering. We then propose a new RO-based offering method, which is characterized by making offers at zero price and overcomes all the limits of other methods. We show the effectiveness of the new method on realistic instances provided by our industrial partners, getting very high increases in profit. Our method is based on Multiband Robustness (MR – Büsing, D’Andreagiovanni, 2012), an RO model that refines the classical Bertsimas-Sim model, while maintaining its computational tractability and accessibility. MR is essentially based on the use of histogram-like uncertainty sets, which result particularly suitable to represent empirical distributions commonly available in uncertain real-world optimization problems.

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