Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets
Abstract To facilitate wind energy use and avoid low returns, or even losses in extreme cases, this paper proposes an integrated risk measurement and control approach to jointly manage multiple statistical properties of the expected profit distribution for a wind storage system. First, a risk-averse...
| Main Authors: | , , , , |
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| Format: | Article |
| Language: | English |
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SpringerOpen
2023-11-01
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| Series: | Protection and Control of Modern Power Systems |
| Subjects: | |
| Online Access: | https://doi.org/10.1186/s41601-023-00329-3 |
| _version_ | 1797452211480952832 |
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| author | Dongliang Xiao Haoyong Chen Weijun Cai Chun Wei Zhendong Zhao |
| author_facet | Dongliang Xiao Haoyong Chen Weijun Cai Chun Wei Zhendong Zhao |
| author_sort | Dongliang Xiao |
| collection | DOAJ |
| description | Abstract To facilitate wind energy use and avoid low returns, or even losses in extreme cases, this paper proposes an integrated risk measurement and control approach to jointly manage multiple statistical properties of the expected profit distribution for a wind storage system. First, a risk-averse stochastic decision-making framework and multi-type risk measurements, including the conditional value at Risk (CVaR), value at risk (VaR) and shortfall probability (SP), are described in detail. To satisfy the various needs of multi-type risk-averse decision makers, integrated risk measurement and control approaches are then proposed by jointly considering the expected, boundary and probability values of the extreme results. These are managed using CVaR, VaR and SP, respectively. Finally, the effectiveness of the proposed risk control strategy is verified by conducting case studies with realistic market data, and the results of different risk control strategies are analyzed in depth. The impacts of the risk parameters of the decision maker, the energy capacity of the battery storage and the price difference between the day-ahead and real-time markets on the expected profits and risks are investigated in detail. |
| first_indexed | 2024-03-09T15:05:30Z |
| format | Article |
| id | doaj.art-0222f838b2c14101b85cb8abc7d56884 |
| institution | Directory Open Access Journal |
| issn | 2367-2617 2367-0983 |
| language | English |
| last_indexed | 2024-03-09T15:05:30Z |
| publishDate | 2023-11-01 |
| publisher | SpringerOpen |
| record_format | Article |
| series | Protection and Control of Modern Power Systems |
| spelling | doaj.art-0222f838b2c14101b85cb8abc7d568842023-11-26T13:39:38ZengSpringerOpenProtection and Control of Modern Power Systems2367-26172367-09832023-11-018111110.1186/s41601-023-00329-3Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity marketsDongliang Xiao0Haoyong Chen1Weijun Cai2Chun Wei3Zhendong Zhao4School of Electric Power, South China University of TechnologySchool of Electric Power, South China University of TechnologySchool of Electric Power, South China University of TechnologyCollege of Information Engineering, Zhejiang University of TechnologySchool of Electric Power, South China University of TechnologyAbstract To facilitate wind energy use and avoid low returns, or even losses in extreme cases, this paper proposes an integrated risk measurement and control approach to jointly manage multiple statistical properties of the expected profit distribution for a wind storage system. First, a risk-averse stochastic decision-making framework and multi-type risk measurements, including the conditional value at Risk (CVaR), value at risk (VaR) and shortfall probability (SP), are described in detail. To satisfy the various needs of multi-type risk-averse decision makers, integrated risk measurement and control approaches are then proposed by jointly considering the expected, boundary and probability values of the extreme results. These are managed using CVaR, VaR and SP, respectively. Finally, the effectiveness of the proposed risk control strategy is verified by conducting case studies with realistic market data, and the results of different risk control strategies are analyzed in depth. The impacts of the risk parameters of the decision maker, the energy capacity of the battery storage and the price difference between the day-ahead and real-time markets on the expected profits and risks are investigated in detail.https://doi.org/10.1186/s41601-023-00329-3Electricity marketRisk measurementStochastic optimizationWind storage systemShortfall probability |
| spellingShingle | Dongliang Xiao Haoyong Chen Weijun Cai Chun Wei Zhendong Zhao Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets Protection and Control of Modern Power Systems Electricity market Risk measurement Stochastic optimization Wind storage system Shortfall probability |
| title | Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets |
| title_full | Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets |
| title_fullStr | Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets |
| title_full_unstemmed | Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets |
| title_short | Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets |
| title_sort | integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets |
| topic | Electricity market Risk measurement Stochastic optimization Wind storage system Shortfall probability |
| url | https://doi.org/10.1186/s41601-023-00329-3 |
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