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Article: The analysis on the optimization problem for LDC electricity procurement

TitleThe analysis on the optimization problem for LDC electricity procurement
Authors
KeywordsConditional value at risk (CVaR)
Electricity market
Optimization problem
Procurement portfolio
Risk measurement
Issue Date2009
Citation
Shanghai Jiaotong Daxue Xuebao/Journal Of Shanghai Jiaotong University, 2009, v. 43 n. 8, p. 1243-1247+1253 How to Cite?
AbstractWith CVaR (conditional value at risk) as the risk measurement, a novel mean-CVaR model for the local distribution company (LDC) was proposed. Based on the actual market data, future electricity prices are assumed to be lognormal distributed. Then this model was applied to optimize procurement portfolio and assess the risk for the LDC in three markets. Moreover, it was compared with the mean-variance model in the original reference. The simulation results demonstrate that the proposed model can guarantee the LDC to bear the minimum CVaR risk within the expected purchase cost. It provides the results more reflecting the real risk than the mean-variance model.
Persistent Identifierhttp://hdl.handle.net/10722/155542
ISSN
2015 SCImago Journal Rankings: 0.190
References

 

DC FieldValueLanguage
dc.contributor.authorHuang, HLen_HK
dc.contributor.authorYan, Zen_HK
dc.contributor.authorWu, Fen_HK
dc.contributor.authorHou, YHen_HK
dc.date.accessioned2012-08-08T08:34:01Z-
dc.date.available2012-08-08T08:34:01Z-
dc.date.issued2009en_HK
dc.identifier.citationShanghai Jiaotong Daxue Xuebao/Journal Of Shanghai Jiaotong University, 2009, v. 43 n. 8, p. 1243-1247+1253en_HK
dc.identifier.issn1006-2467en_HK
dc.identifier.urihttp://hdl.handle.net/10722/155542-
dc.description.abstractWith CVaR (conditional value at risk) as the risk measurement, a novel mean-CVaR model for the local distribution company (LDC) was proposed. Based on the actual market data, future electricity prices are assumed to be lognormal distributed. Then this model was applied to optimize procurement portfolio and assess the risk for the LDC in three markets. Moreover, it was compared with the mean-variance model in the original reference. The simulation results demonstrate that the proposed model can guarantee the LDC to bear the minimum CVaR risk within the expected purchase cost. It provides the results more reflecting the real risk than the mean-variance model.en_HK
dc.languageengen_US
dc.relation.ispartofShanghai Jiaotong Daxue Xuebao/Journal of Shanghai Jiaotong Universityen_HK
dc.subjectConditional value at risk (CVaR)en_HK
dc.subjectElectricity marketen_HK
dc.subjectOptimization problemen_HK
dc.subjectProcurement portfolioen_HK
dc.subjectRisk measurementen_HK
dc.titleThe analysis on the optimization problem for LDC electricity procurementen_HK
dc.typeArticleen_HK
dc.identifier.emailWu, F: ffwu@eee.hku.hken_HK
dc.identifier.emailHou, YH: yhhou@hku.hken_HK
dc.identifier.authorityWu, F=rp00194en_HK
dc.identifier.authorityHou, YH=rp00069en_HK
dc.description.naturelink_to_subscribed_fulltexten_US
dc.identifier.scopuseid_2-s2.0-70349255814en_HK
dc.relation.referenceshttp://www.scopus.com/mlt/select.url?eid=2-s2.0-70349255814&selection=ref&src=s&origin=recordpageen_HK
dc.identifier.volume43en_HK
dc.identifier.issue8en_HK
dc.identifier.spage1243en_HK
dc.identifier.epage1247+1253en_HK
dc.identifier.scopusauthoridHuang, HL=25225712700en_HK
dc.identifier.scopusauthoridYan, Z=7402519416en_HK
dc.identifier.scopusauthoridWu, F=7403465107en_HK
dc.identifier.scopusauthoridHou, YH=7402198555en_HK

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