Scheduling of a hydro producer considering head-dependency, price scenarios and risk-aversion

In this paper, a mixed-integer quadratic programming approach is proposed for the short-term hydro scheduling problem, considering head-dependency, discontinuous operating regions and discharge ramping constraints. As new contributions to earlier studies, market uncertainty is introduced in the model via price scenarios, and risk aversion is also incorporated by limiting the volatility of the expected profit through the conditional value-at-risk. Our approach has been applied successfully to solve a case study based on one of the main Portuguese cascaded hydro systems, requiring a negligible computational time.

► A MIQP approach is proposed for the short-term hydro scheduling problem.
► Head-dependency, discontinuous operating regions and discharge ramping constraints are considered.
► As new contribution to earlier studies, market uncertainty is introduced in the model via price scenarios.
► Also, risk aversion is incorporated by limiting the volatility of the expected profit through CVaR.
► A case study based on one of the main Portuguese cascaded hydro systems is provided.