Abstract
One of the most important decisions that a Genco has to make is to determine generation portfolio management of the spot and futures market. That is, how much capacity should be put into the futures market and how much should be kept to bid in the spot market. This paper focuses on the generation portfolio management between monthly futures market and daily spot market. It deals with the problems of optimal hedging position based on the current forward price and the forecasted hourly spot prices. The problem is formulated based on the model of PJM market and the double dynamic programming method developed in our previous work is applied to solve this optimal portfolio management problem with all the short term operating constraints satisfied. Numerical testing results show that this method is efficient and optimal generation portfolio is obtained based on current futures price and forecasted spot market prices.
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