Portfolio Purchasing Optimization Model Based on Skewness-CVaR for Electricity Retailers Under Peak - Valley Prices
| Autor: | Chen Xiulan, Lin Fen, Jiang Yue-wen, Chen Chuanbin |
|---|---|
| Rok vydání: | 2018 |
| Předmět: |
0209 industrial biotechnology
business.industry CVAR 010103 numerical & computational mathematics 02 engineering and technology 01 natural sciences Purchasing 020901 industrial engineering & automation Procurement Skewness Order (exchange) Econometrics Portfolio Business Electricity 0101 mathematics Constraint (mathematics) |
| Zdroj: | 2018 China International Conference on Electricity Distribution (CICED). |
| DOI: | 10.1109/ciced.2018.8592059 |
| Popis: | In a multi-market environment, electricity retailers need to allocate the proportion of electricity purchased from the contract market, the day-ahead market and the real-time market in order to reduce risks and increase profits. This article considers the implementation of peak-valley prices on the side of power sales, studies the income space of electricity procurement and sale for electricity retailers, and uses CVaR to quantify the losses that electricity retailers may suffer; since CVaR mainly reflects the size of losses, it cannot adjust the proportion of power purchases in various markets to increase the income from electricity retailers; therefore, under the condition of satisfying CVaR, the skewness constraint is introduced into the portfolio purchasing optimization model, this article adjusts the proportion of electricity purchased in each market by controlling the degree of skewness, so as to control the return of electricity retailers, the greater the skewness, the lower the probability of a low rate of income and the greater the probability of a high rate of income; this article takes the maximization of the income of electricity retailers as a target function, the skewness-CVaR based portfolio purchasing optimization model for electricity retailers under peak - valley prices is established. The example results show that this model provides new risk measurement indicators and power purchase plans for electricity retailers. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
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