IEEE TRANSACTIONS ON POWER SYSTEMS, VOL. 25, NO. 2, MAY 2010 657 Weekly Self-Scheduling, Forward Contracting, and Offering Strategy for a Producer Lina P. Garcés, Student Member, IEEE, and Antonio J. Conejo, Fellow, IEEE Abstract—Within a weekly market horizon, this paper considers a power producer that sells its energy both in the pool and through weekly forward contracts. The paper provides a methodology that allows the producer to derive the self-scheduling of its production units, to select weekly forward contracts, and to obtain the offering strategy for Monday’s pool. The proposed technique is based on stochastic programming and allows the producer to maximize its expected profit while controlling the risk of profit variability. A comprehensive case study is used to illustrate the characteristics of the proposed methodology. Appropriate conclusions are finally drawn. Index Terms—Offering strategy, risk management, stochastic programming, weekly forward contracting, weekly self-sched- uling. NOTATION The main notation used throughout this paper is stated below for quick reference. Other symbols are defined as needed throughout the paper. A. Variables: Generation cost in Monday period and scenario ( ). Generation cost in period of weekdays other than Monday, Monday scenario , and week scenario ( ). Shut-down cost incurred by unit in Monday period ( ). Shut-down cost incurred by unit in period of weekdays other than Monday ( ). Power generated by the th block of unit in Monday period and scenario (MW). Manuscript received May 13, 2009; revised August 19, 2009. First published November 10, 2009; current version published April 21, 2010. The work of A. J. Conejo was supported in part by the Government of Castilla-La Mancha, Project PCI08-0102, and in part by the Ministry of Education and Science of Spain, CICYT Project DPI2006-08001. Paper no. TPWRS-00348-2009. L. P. Garcés is with the Paulista State University, Ilha Solteira, Brazil (e-mail: linaneg@aluno.feis.unesp.br). A. J. Conejo is with the University of Castilla-La Mancha, Ciudad Real, Spain (e-mail: Antonio.Conejo@uclm.es). Digital Object Identifier 10.1109/TPWRS.2009.2032658 Power generated through the th block of unit during period of weekdays other than Monday, Monday scenario , and week scenario (MW). Power sold through the th block of forward contract (MW). Power sold in the pool during Monday period and scenario (MW). Power sold in the pool during period of weekdays other than Monday, Monday scenario , and week scenario (MW). Binary variable which is equal to 1 if unit is online during Monday period , and 0 otherwise. Start-up cost incurred by unit in Monday period ( ). Start-up cost incurred by unit in period of weekdays other than Monday ( ). Binary variable which is equal to 1 if unit is online during period of weekdays other than Monday, and 0 otherwise. Value at risk. Auxiliary variable used to compute the conditional value at risk (CVaR). B. Constants: No-load generating cost of unit ( /h). Incremental generating cost of the th block of unit ( /MWh). Start-up cost of unit ( ). Shut-down cost of unit ( ). Time periods spanned by contract (h). Time duration of Monday period (h). Time duration of period of weekdays other than Monday (h). Maximum power that can be sold through block of forward contract (MW). Capacity of unit (MW). 0885-8950/$26.00 © 2009 IEEE