Sale Decision-Making Model of United Operation between Hydropower and Thermal Power Considering Uncertain Factors

Author

Yong, Guan ; Zhong-fu, Tan ; Mian-Bin, Wang ; Xiao-jun, Li

Author_Institution

Inst. of Electr. Econ., North China Electr. Power Univ., Beijing, China

Volume

1

fYear

2008

fDate

20-22 Dec. 2008

Firstpage

316

Lastpage

320

Abstract

This electronic document is a "live" template. The paper studies the balance between benefits and risks, when such a generator sales electricity in many trade markets. Firstly, the uncertain risk faced by this generator selling electricity in spot market, contract market and option market will be measured with conditional value at risk (CVaR) theory. Secondly, the mean-CVaR sale portfolio optimal model is constructed with considering the risk and expectation benefits of this generator based on investment portfolio theory. At last, calculation results show that the proposed model can truly reflect the essential characters of the market risk faced by this generator and guarantee it to obtain expected profits at the minimum CVaR risk lever, and the option market can effectively reduce sale risk.

Keywords

decision making; decision theory; hydroelectric power stations; investment; power markets; profitability; risk management; thermal power stations; conditional value at risk theory; contract market; electricity generator sales; expected profit maximization; hydropower generator; investment portfolio theory; mean-CVaR sale portfolio optimal model; option market; sales decision-making model; spot market; thermal power generator; trade market; uncertain risk factor; Consumer electronics; Contracts; Decision making; Electric variables measurement; Hydroelectric power generation; Investments; Marketing and sales; Portfolios; Power generation; Thermal factors; Coal price volatility; Conditional value at risk; Sale decision-making; option markets;

fLanguage

English

Publisher

ieee

Conference_Titel

Computer Science and Computational Technology, 2008. ISCSCT '08. International Symposium on

Conference_Location

Shanghai

Print_ISBN

978-1-4244-3746-7

Type

conf

DOI

10.1109/ISCSCT.2008.377

Filename

4731435