TWO-LAYER OPTIMAL STRATEGY MODEL OF LARGE POWER CONSUMER’S DIRECT BUYING BASED ON THE RISK MEASURE WITH CVAR METHOD
For there are three different ways for large consumers buy power in the electricity market, the large consumers’ purchasing strategies in the face of different markets is addressed. Large users’ purchasing activity was divided into risk market and risk-free market, and CVaR (conditional value at risk) method was used to measure risk of the large users in the spot market and long-term contract market, based on which the first-layer optimal energy-decision model in risk market was constructed by the objective function of RAROC (Risk Adjusted Return on Capital) according to the investment portfolio theory. Then, according to the users’ risk preference, a combined optimization model for power purchasing of risk market and risk-free market was constructed to get the optimal purchase decision of large users. A calculation example showed that the two-layer power purchasing combination model was feasible and helpful to the power purchase strategy of the large users.
Large power consumer’s direct buying Risk measure Conditional value at risk Investment portfolio Power-purchasing strategy
Li Xingmei Wang Mian-bin Li Xiao-jun Liu Li-ping
Institute of electricity Economics, North China electric Power University, Beijing, China
国际会议
北京
英文
2007-11-01（万方平台首次上网日期，不代表论文的发表时间）