Scarcity Mitigation and Risk-Averse Clearing Model in the Swiss Reserve Market
This paper presents a real-world application of stochastic programming in the Swiss hydro-based system. The seasonal hydrological conditions may cause insufficient market volume to an extent that security criteria (i.e., the criteria determining of reserve amount) may not be met. In this situations, the question arises to what extend the current pre-defined security criteria can be relaxed while respecting the current market properties. We provide a framework accounting for the trade-off between the expected procurement cost of reserves and security criteria. Additionally, this paper provides a risk-averse formulation of the current clearing model. The proposed approach is simulated using data of the Swiss reserve market to illustrate technical and economic aspects.