Risk-managed operation of community integrated energy systems in day-ahead and real-time markets based on portfolio theory

Abstract

Operation strategy is a critical issue for the community integrated energy system (CIES) to improve its economic performance. However, the uncertainties in energy markets may result in severe deviation and fluctuation in the operation cost. It is challenging to balance the cost and risk in the operation optimization of CIES. This paper proposes a risk-managed operation optimization method based on portfolio theory for the CIES in day-ahead and real-time electricity markets. First, both kinds of markets are modeled as risky investment markets, whose returns and risks are described by the mean value and the variance of the electricity price. Second, the power purchase of the CIES from different markets is modeled as risky investment activities, in which the Markowitz portfolio theory is employed to balance the risk and cost. Third, the optimal portfolio can be obtained by solving the operation optimization problem of the CIES considering the risk preference of the owner. The case studies show that the CIES can reduce price volatility by 10.11% with only a 3.46% increase in cost in the day-ahead market. The proposed method provides a balance between different returns and risk fluctuations according to user preferences, which verified the validity and feasibility.