Journal of the Operational Research Society (2015) 66, 174–176 © 2015 Operational Research Society Ltd.
ty Ltd. All rights reserved. 0160-5682/15
Book Selection
Decision Making under Uncertainty in Electricity Markets
Conejo Antonio J, Carrión Miguel and Morales Juan M,
Springer, Berlin, 2010. 539pp., £153 Hardback,
ISBN: 978-1441974204
Journal of the Operational Research Society (2015) 66(1), 174.
doi:10.1057/jors.2014.93
In the electricity market, many decisions to be taken by market
agents involve considerable data uncertainty, and stochastic
programming is a useful tool for defining mathematical models
to obtain informed decisions. In this book, Antonio Conejo
(a worldwide authority in the field of electricity markets, and
Editor-in-Chief of the IEEE Transactions on Power Systems)
and his co-authors provide models and procedures to be used to
make informed decisions under uncertainty.
After an introductory chapter, that describes the organization
of the electricity market, the contents of the book can be divided
into two main parts: Chapters 2–4 present a clear introduction to
stochastic programming, scenario generation, reduction tech-
niques, and risk management, while Chapters 5–11 introduce
the application of stochastic techniques to the problems faced
by the various involved agents (producers, retailers, consumers,
electricity market, and transmission network operators).
The first part of the book is aimed at presenting the necessary
theoretical background, in order to clarify the practical imple-
mentation of the various techniques used in the second part. For
each topic, a rigorous mathematical presentation is followed by
one or more illustrative numerical examples. Moreover, at the end
of each chapter, a list of exercises is proposed, whose solution is
provided in an Appendix at the end of the volume. This didactic
effort appears very convincing and particularly useful.
The second part presents, in a structured form, relevant
results obtained by the research activity carried out by the
Electric Energy Systems Group at the University of Castilla—
La Mancha, led by the first author during several years. In
addition, it provides and integrates theories and approaches
proposed by the increasing multidisciplinary community of
www.palgrave-journals.com/jors/
researchers working in these fields, as also testified by the large
number of references. The objective to clearly define problems
and solution techniques appears to be effectively met. More-
over, a specific Appendix helps the reader in the implementa-
tion of the proposed models by providing very useful
GAMS codes.
Uncertainty is a fundamental aspect for the decisions to be
made in the electric power industry in general. In the electricity
market, uncertainty affects the short-term decision in spot
markets and the medium-term problems characterizing future
markets. Competition between different agents, stochastic
nature of the availability of natural resources, and equipment
failures can be considered as the main sources of uncertainty.
All these aspects are dealt with in the book: producer trading in
both pool and futures markets is analysed in Chapters 5 and 7,
electricity production by wind is treated in Chapters 6 and 11,
specific models for retailers and large consumers are presented
in Chapters 8 and 9, and equipment failures are examined in
Chapter 10. The models relevant to the problems faced by
market and system operators are also realistically illustrated
through a 24-node system completely described in an Appendix.
The general approach followed by the authors is to transform
a stochastic problem into the solution of several deterministic
problems by using scenarios techniques. The reduction of the
number of scenarios is one of the main concerns taken into
account for the solution of the various models. In order to limit
the computational effort, in general, the models presented in the
book try to avoid the non-linear aspects, and linear program-
ming, sometimes with integer variables, is the most frequently
adopted approach.
This book will be of interest for professionals working
on energy markets, and for graduate students in power engi-
neering, applied mathematics, applied economics, and opera-
tions research.
I’m grateful to Alberto Borghetti, Senior Member of
the IEEE, for the very competent comments provided on this
volume.
University of Bologna Silvano Martello