Title :
A Stochastic Programming Approach to Electric Energy Procurement for Large Consumers
Author :
Carrión, Miguel ; Philpott, Andy B. ; Conejo, Antonio J. ; Arroyo, José M.
Author_Institution :
Univ. de Castilla-La Mancha, Ciudad Real
fDate :
5/1/2007 12:00:00 AM
Abstract :
This paper provides a technique based on stochastic programming to optimally solve the electricity procurement problem faced by a large consumer. Supply sources include bilateral contracts, a limited amount of self-production and the pool. Risk aversion is explicitly modeled using the conditional value-at-risk methodology. Results from a realistic case study are provided and analyzed
Keywords :
power system economics; power system management; risk management; stochastic processes; bilateral contracts; conditional value-at-risk methodology; electric energy procurement; large consumers; risk aversion; stochastic programming; Contracts; Cost function; Delay; Energy consumption; Piecewise linear techniques; Probability distribution; Procurement; Production; Programming profession; Stochastic processes; Conditional value-at-risk (CVaR); electricity procurement; large consumer; stochastic programming;
Journal_Title :
Power Systems, IEEE Transactions on
DOI :
10.1109/TPWRS.2007.895164
