On Purchasing Portfolio for Distribution Companies with Options and Interruptible Load Based on Improved Genetic Algorithm

Distribution companies (Discos) are faced with the trade-off between benefit and risk when they purchase electric power energy from several sub-markets under electricity market environment. With conditional value at risk (CVaR) as a measuring index for market risk, a purchasing portfolio model for Discos among the wholesale, forward, options and interruptible load (IL) markets, is presented, in which the objective function is to minimize the portfolio loss. The model can be solved by an improved genetic algorithm, and the impacts of options and IL on purchasing portfolio are analyzed. The results of numerical examples show that options and IL can effectively lower portfolio loss, and the strike price of options and the IL compensation price have explicitly effect on the portfolio allocation.