We investigate a unit commitment problem in which CO2 emission trading and power price are under consideration. We decide how much power to generate, how to trade emission and aim at maximizing the profit of the generation company in the deregulated market environment. The prices of power and emission trading are assumed to be stochastic due to the uncertain market environment. Using a scenario-based approach, we formulate the stochastic problem as a large scale MINLP model. A heuristic algorithm based on Lagrangian relaxation is developed for solving the problem. The testing results show the good performance of the proposed algorithm.
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