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Optimal strategy model of electricity purchasing and sales for retail electricity providers using conditional value at risk theory

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3 Author(s)
Yu Cheng ; Sch. of Electr. & Electron. Eng., North China Electr. Power Univ., Beijing, China ; Qingxia Wang ; Yefei Sun

In open electricity retail market, retail electricity providers(REPs) use different combined electricity purchasing strategies with different transaction modes and varieties, and sign different electricity retail contracts with customers. REPs maximize their profits and meet the requirements of customers with these contracts. Because of fluctuations of spot price and uncertainties of electricity demands, REPs have different profits and risks levels with different electricity purchasing and sales contracts. This paper established electricity purchasing and sales mean-CVaR model for REPs using conditional CVaR theory. The mean-CVaR model also considered electricity price elasticity of demand. The analysis results indicates that mean-CVaR model can be used to support electricity purchasing and sales strategy making of REPs with a certain degree of risk tolerance level.

Published in:

Industrial Engineering and Engineering Management, 2009. IEEM 2009. IEEE International Conference on

Date of Conference:

8-11 Dec. 2009