NDLI: CVaR-based decision-making model for interruptible load management

Content Provider	IEEE Xplore Digital Library
Author	Xuena An Shaohua Zhang Xian Wang
Copyright Year	2010
Description	Author affiliation: School of Mechatronics Engineering and Automation, Shanghai University, 200072, China (Xuena An; Shaohua Zhang; Xian Wang)
Abstract	Integration of risk factors into decision-making model for interruptible load management plays a valuable role for power suppliers to mitigate price risks and improve their profitability in electricity market environment. A decision-making model is developed for power suppliers to determine the interruptible load volume purchased from interruptible consumers. The power suppliers' tradeoff between the wholesale market and interruptible load is considered as a portfolio selection problem. The conditional value-at-risk is employed to describe and measure the risk faced by power suppliers. In addition, a risk constraint is added to the decision-making model to take into account the risk preference of power suppliers. The Monte Carlo simulation-based numerical examples are presented to validate the reasonableness and effectiveness of the proposed model. It is also shown that the more averse to the risk, the larger volume of interruptible load the power supplier will choose. Furthermore, in order to hedge the wholesale market risk, the volume of interruptible load increases with increasing uncertainty in the wholesale market price.
Starting Page	448
Ending Page	451
File Size	247764
Page Count	4
File Format	PDF
ISBN	9781424451814
DOI	10.1109/CCDC.2010.5499021
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2010-05-26
Publisher Place	China
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Power supplies Profitability Decision making Electricity market Interruptible load management Condition value-at-risk Power measurement Monte Carlo methods Load management Electricity supply industry Numerical simulation Risk management Portfolios Load modeling
Content Type	Text
Resource Type	Article

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