Risk-constrained dynamic energy allocation for a wind power producer

Virginia González, David Pozo, Javier Contreras

Research output: Contribution to journalArticlepeer-review

9 Citations (Scopus)


Participants in competitive electricity markets make their dynamic decisions under uncertainty. Choosing a time-inconsistent formulation can lead to an incorrect procedure for risk and, consequently, to a sequence of inappropriate decisions. In a market context with uncertainty in energy prices, the net income of a company is the result of selling their energy in the spot market and through bilateral physical contracts. The purpose of this paper is to describe a dynamic multistage stochastic programming framework for sequential decision making under uncertainty that allows wind power producers to maximize their profit for a given risk level on profit variability. In this context, Conditional Value at Risk (CVaR) has been chosen as a time-consistent and dynamic risk measure. An example is provided to illustrate the methodology proposed.

Original languageEnglish
Pages (from-to)338-346
Number of pages9
JournalElectric Power Systems Research
Publication statusPublished - Nov 2014
Externally publishedYes


  • Bilateral contracts
  • Conditional Value at Risk
  • Dynamic programming
  • Electricity market
  • Future utility function
  • Time-consistent risk measure


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