A common problem facing energy producers is marketing excess capacity in the short-term market.
A producer holds an auction asking interested buyers to submit bids re ecting their capacity and
price requirements. As a buyer’s demand is not known in advance, the supplier constructs several
demand forecasts and associates a set of possible probability measures with these forecasts. The
supplier then minimizes the expected cost while considering the worst-case probability distribution.
The formulation—a minimax mixed-integer program—is solved using a branch-and-cut technique.
Numerical testing indicates that the developed method solves models with more than a 100 contracts
in less than a minute.
By: Samer Takriti, Shabbir Ahmed
Published in: RC22297 in 2001
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