Stochastic Analysis and Clearing of the Joint Energy and Reserve Markets Considering Wind Resources Uncertainty Using Mixed Integer Linear Programming and VaR and CVaR Risk Measures

In presence of wind units in the market and because of uncertainty related to wind power forecasting, market clearing will be done as a stochastic framework. The main advantage of the stochastic programming over its counterpart is that optimal decisions will be optimize expected value of the objective function. But despite this advantage in stochastic programming, the main drawback is the lack of consideration of other parameters indicating the probability distribution of the objective function which these parameters will be considered in context of the risk concept. In this paper, the problem of maximizing profit remaining of the joint energy and reserve market clearing for independent system operator and at the same time minimizing thermal units costs in presence of wind units and considering risk concept will be studied. The proposed model is a Mixed Integer Linear Programming (Model) along with Value at Risk (VaR) and Conditional Value at Risk (CVaR) risk measures in order to evaluating the operator risk-taking.