DocumentCode :
3357367
Title :
Power Purchasing Portfolio Optimization Based on the Absolute Deviation
Author :
Liu Rui-Hua ; Liu Jun-Yong ; He Mai ; Xie Lian-Fang
Author_Institution :
Sch. of Electr. Eng. & Inf., Sichuan Univ., Chengdu
fYear :
2009
fDate :
27-31 March 2009
Firstpage :
1
Lastpage :
4
Abstract :
This paper takes the absolute deviation as a risk measurement index for the power-supplying company, which dose not need to consider whether the variance of asset returns is existent or not., and introduces an absolute deviation optimal purchasing portfolio model for multiple markets, quantizing the risk and expected revenue rate of the power-supplying company. Taking the power purchasing in four markets for example, such as long-term contract market, day-ahead market, reserve market and self-contained power plant, the corresponding proposed model is transferred into an linear programming problem, which can be efficiently solved by minimizing the absolute risk integrated the expected return level. In fact, comparing with the classical model, the calculation results is bound consistent fully with the decision maker´s intuition on return-risk decision making. Moreover, separately considering the effect of market volatility change to the portfolio, solutions show that the proposed model can truly reflect the essential characteristics of power market risk facing the power-supplying companies and guarantee the supply companies to obtain the expected profits at the minimum absolute deviation risk. So it provides the power- supplying companies a new possible and effective method for the optimal power portfolio and risk management in competitive transmission and distribution separated electricity market.
Keywords :
linear programming; power markets; risk management; linear programming; power market; power purchasing portfolio optimization; power-supplying company; risk management; risk measurement index; Contracts; Electric variables measurement; Electricity supply industry; Linear programming; Load forecasting; Portfolios; Power generation; Power markets; Power measurement; Risk management;
fLanguage :
English
Publisher :
ieee
Conference_Titel :
Power and Energy Engineering Conference, 2009. APPEEC 2009. Asia-Pacific
Conference_Location :
Wuhan
Print_ISBN :
978-1-4244-2486-3
Electronic_ISBN :
978-1-4244-2487-0
Type :
conf
DOI :
10.1109/APPEEC.2009.4918612
Filename :
4918612
Link To Document :
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