Abstract
Considering the uncertainty of probability distribution of electricity price in multi-energy markets and taking the maximum expected profits as optimization object, this paper establishes the optimal power purchasing portfolio model based on distributional robust CVaR. An optimal portfolio problem of purchasing proportion in real-time electricity market, day-ahead electricity market, and mid-long term contract market is transformed into a semi-definite programming problem. The analysis of case study shows the efficiency of the proposed model, which paves a new way for electricity companies to determine the optimal portfolio strategies considering the risk.
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