Risk-Constrained Bidding Strategy of Electric Power Producers Based on Historical Bidding Data

Author

Zhang, Xinhua ; Lai, Mingyong

Author_Institution

Coll. of Manage., Changsha Univ. of Sci. & Technol., Changsha

fYear

2008

fDate

12-14 Oct. 2008

Firstpage

1

Lastpage

4

Abstract

This paper analyzes the historical data of power bidding with econometrics method, and simulates the uncertainty of bidding market into logistic distribution. Based on the results, the risk-constrained power bidding strategy model is proposed by using the CVaR method. Finally, the simulation results of the model show that the equilibrium bid is the lower limit governed by market rule to risk-averse power producer, and the optimal bid is greater than the lower limit to risk-preference one.

Keywords

econometrics; electricity supply industry; logistics; power markets; risk management; CVaR method; bidding market; conditional value-at-risk; econometrics; electric power producer; equilibrium bid; historical bidding data; logistic distribution; risk-averse power producer; risk-constrained power bidding; Current measurement; Density functional theory; Density measurement; Econometrics; Educational institutions; Electric variables measurement; Mathematical model; Power measurement; Reactive power; Risk analysis;

fLanguage

English

Publisher

ieee

Conference_Titel

Wireless Communications, Networking and Mobile Computing, 2008. WiCOM '08. 4th International Conference on

Conference_Location

Dalian

Print_ISBN

978-1-4244-2107-7

Electronic_ISBN

978-1-4244-2108-4

Type

conf

DOI

10.1109/WiCom.2008.2504

Filename

4680693