A Stochastic-Based Decision-Making Framework for an Electricity Retailer: Time-of-Use Pricing and Electricity Portfolio Optimization

作者：Hatami Alireza^*; Seifi Hossein; Sheikh El Eslami Mohammad Kazem

来源：IEEE Transactions on Power Systems, 2011, 26(4): 1808-1816.

DOI：10.1109/TPWRS.2010.2095431

• Conditional value at risk
• portfolio optimization
• retail electricity market
• risk management
• time-of-use pricing

This paper proposes a decision-making framework, based on stochastic programming, for a retailer: 1) to determine the sale price of electricity to the customers based on time-of-use (TOU) rates, and 2) to manage a portfolio of different contracts in order to procure its demand and to hedge against risks, within a medium-term period. Supply sources include the pool, self-production facilities and several instruments such as forward contracts, call options, and interruptible contracts. The objective is to maximize the profit and simultaneously to minimize the risks in terms of a multi-period risk measure. Moreover, the risks are measured using conditional value at risk (CVaR) methodology. The reaction of the customers to the retailers' selling prices as well as the competition between the retailers is modeled through a market share function. The problem is formulated as a mixed-integer stochastic programming. It is solved by a decomposition technique, and the decomposed parts are solved by a branch-and-bound algorithm.

• 出版日期2011-11