Abstract
High wind power penetration in power systems will significantly increase risks faced by the conventional generators in the deregulated electricity markets. This will further affect these generators’ risk preferences and strategic behaviors. Based on conditional value at risk (CVaR), an equilibrium model of electricity market with wind power is developed taking into account the conventional generators’ risk preferences. The model is performed by Monte Carlo simulation and nonlinear complementary method. The impacts of wind power volatility and generators’ risk preferences on generators’ strategy behaviors and equilibrium results are analyzed and the efficient frontier of generators’ expected profit – CVaR is provided. The simulation results show that, the equilibrium market price will increase with the increase of wind power uncertainty; the increase of conventional generators’ risk aversion will also lead to an increase in the expected market price; if generators collude with others, they will be more conservative.
This is a preview of subscription content, log in via an institution to check access.
Access this chapter
Tax calculation will be finalised at checkout
Purchases are for personal use only
Preview
Unable to display preview. Download preview PDF.
References
Smith, J.: Wind power: present realities and future possibilities. Proc. IEEE 97, 195–197 (2009)
Botterud, A., Wang, J., Miranda, V., Bessa, R.J.: Wind power forecasting in U.S. electricity markets 23, 71–82 (2010)
Zhang, Q., Wang, X.: Hedge Contract Characterization and Risk-Constrained Electricity Procurement. IEEE Trans. on Power System 24, 1547–1558 (2009)
Helman, U.: Market power monitoring and mitigation in the US wholesale power markets. Energy 31, 877–904 (2006)
Chen, H., Wong, K., Nguyen, H., Chung, C.Y.: Analyzing oligopolistic electricity market using coevolutionary computation. IEEE Trans. on Power System 21, 143–152 (2006)
Wang, X., Li, Y., Zhang, S.: Oligopolistic equilibrium analysis for electricity markets: a nonlinear complementarity approach. IEEE Trans. on Power System 19, 1348–1355 (2004)
Liu, M., Wu, F.F.: Managing price risk in a multimarket environment. IEEE Trans. on Power System 21, 1512–1519 (2006)
Conejo, A., Raquel, G., Carrion, M.: Optimal involvement in futures markets of a power producer. IEEE Trans. on Power Syst. 23, 703–711 (2008)
Dahlgren, R., Liu, C., Lawarrée, L.: Risk assessment in energy trading. IEEE Trans. on Power Syst. 18, 503–511 (2003)
Conejo, A.J., Garcıa-Bertrand, R.: Forward Trading for an Electricity Producer. IEEE 4, 89–93 (2008)
Carrion, M., Arroyo, J.M., Conejo, A.J.: A Bilevel Stochastic Programming Approach for Retailer Futures Market Trading 24, 1446–1456 (2009)
Rockafellar, R., Uryasev, T.: Optimization of Conditional Value-at-Risk. Journal of Risk 2, 21–42 (2000)
Wang, S., Xu, Q.: Modeling of Wind Speed Uncertainty and Interval Power Flow Analysis for Wind Farms. Automation of Electric Power Systems 33, 82–86 (2009)
Author information
Authors and Affiliations
Editor information
Editors and Affiliations
Rights and permissions
Copyright information
© 2012 Springer-Verlag Berlin Heidelberg
About this paper
Cite this paper
Li, J., Wang, X., Zhang, S. (2012). Equilibrium Simulation of Power Market with Wind Power Based on CVaR Approach. In: Xiao, T., Zhang, L., Ma, S. (eds) System Simulation and Scientific Computing. ICSC 2012. Communications in Computer and Information Science, vol 326. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-34381-0_8
Download citation
DOI: https://doi.org/10.1007/978-3-642-34381-0_8
Publisher Name: Springer, Berlin, Heidelberg
Print ISBN: 978-3-642-34380-3
Online ISBN: 978-3-642-34381-0
eBook Packages: Computer ScienceComputer Science (R0)