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| Spot Market Optimal Decision-Making Model of Purchase Electricity for Power-Supplying Company Based on CVaR Model |
| Xie Pinjie, Tan Zhongfu, Wang Mianbin, Hou Jianchao |
| North China Electric Power University Beijing 102206 China |
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Abstract For spot price's volatility and demand's movement, power supplying company faces double-side risk from in electricity market transaction. To hedge risk, power-supplying company should make transaction decision considering risk measurement. Suppose electricity demand is random variable, the paper takes the conditional value-at-risk (CVaR) as risk measurement index to construct the optimal model of electricity purchase in the spot market for power-supplying company and provides the analytical solution to the model on the purpose of maximizing the CVaR value of profit. Furthermore, the effects of the penalty cost of electricity shortage and the degree of risk aversion on optimal purchase electricity is analyzed. Finally, the simulation example confirms the validity and availability of the model, and shows that the proposed model provides the power-supplying company some reference value and guiding role for purchasing decision-making.
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Received: 29 November 2007
Published: 13 February 2014
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2009, Vol. 24 
