Coherent reliability index for generation system operation and its optimization model

Abstract

By analogizing finance risk measures of value at risk and conditional value at risk, two corresponding measures for power system reliability measures were introduced, called reserve-at-risk (RaR) and conditional reserve-at-risk (CRaR), of which CRaR is a coherent measure. Universal optimization model of CRaR was established and a performance function was proposed, by which CRaR can be computed without its definition. It is proved that CRaR, which maximizes the system risk reserve, can be obtained through optimizing the performance function and the model is a convex optimization problem with the local optimal solution equaling to its global solution. An example of modeling purchasing strategy optimization in generation capacity market was applied for simulation test. Numerical results and analysis validate the proposed indices and models. © 2009 Chin.Soc.for Elec.Eng.