Risk analysis and scheduling of a Generation Company (GenCo) under uncertain environments
are challenging issues. So, stochastic optimization and downside risk constraints approaches are used in this
paper to model and manage the risk associated with various uncertainties. The presented GenCo model
comprised ve thermal units, photovoltaic systems, and wind farms. It is assumed that all thermal units,
photovoltaic systems, and wind farms can participate in the energy market. In contrast, only thermal units can
participate in the reserve market. The uncertainty of electricity and reserve market prices and output power
of photovoltaic systems and wind farms are modeled via a stochastic optimization approach. Afterward,
the downside risk constraints method is used to manage the risks associated with various uncertainties. By
analyzing the obtained results, it can be seen that the level of the average risk can plunge to 0 by gaining
4.68% less average prot. So, the GenCo can be immune against considered uncertainties with gaining a
little bit less prot. Furthermore, the offering strategy is studied in two risk-neutral and risk-averse strategies.
Finally, the CPLEX solver of GAMS software is used to optimize the studied linear-based model of GenCo.