Title :
Risk constraint profit maximization in a multi-electricity market
Author :
Panda, D. ; Singh, S.N. ; Kumar, Vipin
Author_Institution :
Dept. of Electr. Eng., Indian Inst. of Technol., Kanpur, Kanpur, India
Abstract :
Competitive electricity market has forced the electric power generating companies (Gencos) to have a tool for measuring and managing the risk. In this paper, a probabilistic framework for managing risk of a generator, which is trading in day-ahead and ancillary service markets, has been proposed. The proposed approach is based on optimization procedure for maximizing expected profits in the presence of risk. Conditional Value at Risk (CVaR) for the distribution of daily profit is used as risk measure. The effectiveness of this approach is tested for a producer in electricity market. The proposed methodology is flexible for managing risk and profit in multi-market environment for different reserve level.
Keywords :
optimisation; power markets; probability; profitability; risk analysis; CVaR; ancillary service markets; competitive electricity market; conditional value at risk; daily profit distribution; day-ahead markets; electric power generating companies; multielectricity market; multimarket environment; optimization procedure; probabilistic framework; risk constraint profit maximization; risk management; risk measure; Contracts; Electricity supply industry; Generators; Optimization; Portfolios; Reactive power; Risk management; Ancillary services; Conditional value at risk; Day-ahead market; Expected profit; Risk management;
Conference_Titel :
PES General Meeting | Conference & Exposition, 2014 IEEE
Conference_Location :
National Harbor, MD
DOI :
10.1109/PESGM.2014.6939300
