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Open AccessArticle

Dynamic Pricing for Demand Response Considering Market Price Uncertainty

GECAD—Research Group on Intelligent Engineering and Computing for Advanced Innovation and Development-Polytechnic of Porto (IPP), R. Dr. António Bernardino de Almeida 431, 4200-072 Porto, Portugal
Automation and Control Group, Department of Electrical Engineering, Technical University of Denmark (DTU), Elektrovej, Building 326, DK-2800 Kgs. Lyngby, Denmark
Instituto de Engenharia de Sistemas e Computadores—Investigação e Desenvolvimento/Instituto Superior Técnico (INESC-ID/IST), University of Lisbon, 1049-001 Lisbon, Portugal
Author to whom correspondence should be addressed.
Energies 2017, 10(9), 1245;
Received: 22 May 2017 / Revised: 14 July 2017 / Accepted: 8 August 2017 / Published: 23 August 2017
(This article belongs to the Section Electrical Power and Energy System)
Retail energy providers (REPs) can employ different strategies such as offering demand response (DR) programs, participating in bilateral contracts, and employing self-generation distributed generation (DG) units to avoid financial losses in the volatile electricity markets. In this paper, the problem of setting dynamic retail sales price by a REP is addressed with a robust optimization technique. In the proposed model, the REP offers price-based DR programs while it faces uncertainties in the wholesale market price. The main contribution of this paper is using a robust optimization approach for setting the short-term dynamic retail rates for an asset-light REP. With this approach, the REP can decide how to participate in forward contracts and call options. They can also determine the optimal operation of the self-generation DG units. Several case studies have been carried out for a REP with 10,679 residential consumers. The deterministic approach and its robust counterpart are used to solve the problem. The results show that, with a slight decrease in the expected payoff, the REP can effectively protect itself against price variations. Offering time-variable retail rates also can increase the expected profit of the REPs. View Full-Text
Keywords: call option; demand response; forward contract; retail electricity provider; robust optimization call option; demand response; forward contract; retail electricity provider; robust optimization
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Fotouhi Ghazvini, M.A.; Soares, J.; Morais, H.; Castro, R.; Vale, Z. Dynamic Pricing for Demand Response Considering Market Price Uncertainty. Energies 2017, 10, 1245.

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