This addition to the ISOR series is a readable yet rigorous advanced
text/reference on models and decision-making under uncertainty in the
growing area of electricity markets. It is the first book to show how to
use stochastic programming procedures to carry out in-depth analysis of
decision-making models under uncertainty in these markets, including
formulation issues and solution techniques. Due to the recent creation
of futures markets for electricity in the past decade, much of the book
is groundbreaking and reflects the most recent advances in operations
research and its application in energy markets in general.
An electricity market is simply a system for effecting the purchase and
sale of electricity using supply and demand to set the price. These
markets are competitive, and have been a growing worldwide trend since
the 1980's, and coming to prominence (and notoriety) in 2001 when both
the California electricity crisis and the Enron scandal occurred. Though
the phenomenon of the electricity market grew from deregulation, and
will likely continue to move toward increased openness, the situation in
California resulted entirely from faulty regulation, particularly in
modeling risk. The fact is, there are so many constraints to consider in
modeling these markets, with so many possible points of failure, that
it's a wonder it's taken this long for a rigorous text on stochastic
programming to appear.
This is an advanced expository book on solving the most current and
relevant short- and medium-term decision-making problems pertaining to
producers, consumers, retailers, and market operators. Among its unique
features: it addresses essentially all operational problems that arise
in electricity markets; practical applications are developed up to the
stage of working algorithms, coded in the GAMS (General Algebraic
Modeling System) so that practitioners can put the book to use
immediately; applications encompass areas in applied mathematics and
business, as well as electrical and energy engineering; it presents a
unified treatment of risk; it includes two chapters on wind power; and
it provides an appropriate blend of theoretical background and practical
applications. It can be used in graduate level courses (or Conejo's own
PhD course in electricity markets) in a broad range of programs, whether
economic, mathematic, or engineering, and will also be well-suited for
the practitioner.
