Optimal Investment in Multi-energy Market Considering Generation and Demand Uncertainties

Abstract

In this paper, we consider an optimal investment problem for a retail company in multi-energy market. Due to the existence of uncertainties caused by renewable energy generation and electricity demand, the risk of investment can not be neglected. In addition, the retail company can invest in the Energy Related Services (ERS) market after supplying the energy demand of customers. We aim to acquire the optimal investment decision that can maximize the profit and minimize the risk of the return simultaneously. By using the Markowitz framework and Chebyshev inequality, we model this investment problem as a quadratic programming problem. We obtain the optimal analytic solutions in three scenarios: on-peak periods, mid-peak periods and off-peak periods utilizing the method of Karush-Kuhn-Tucker conditions. Moreover, it is found that generating electricity by natural gas through energy hub (EH) during on-peak periods is more economical. Simulation results demonstrate that the proposed strategy has better performance than strategies with fixed dispatch factors.