Statistical Measure for Risk-seeking Stochastic Wind Power Offering Strategies in Electricity Markets
This study proposes a statistical measure and a stochastic optimization model for generating risk-seeking wind power offering strategies in electricity markets. Inspired by the value at risk (VaR) to quantify risks in the worst-case scenarios of a profit distribution, a statistical measure is propos...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
| Published: |
IEEE
2022-01-01
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| Series: | Journal of Modern Power Systems and Clean Energy |
| Subjects: | |
| Online Access: | https://ieeexplore.ieee.org/document/9642711/ |
| _version_ | 1811265723494825984 |
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| author | Dongliang Xiao Haoyong Chen Chun Wei Xiaoqing Bai |
| author_facet | Dongliang Xiao Haoyong Chen Chun Wei Xiaoqing Bai |
| author_sort | Dongliang Xiao |
| collection | DOAJ |
| description | This study proposes a statistical measure and a stochastic optimization model for generating risk-seeking wind power offering strategies in electricity markets. Inspired by the value at risk (VaR) to quantify risks in the worst-case scenarios of a profit distribution, a statistical measure is proposed to quantify potential high profits in the best-case scenarios of a profit distribution, which is referred to as value at best (VaB) in the best-case scenarios. Then, a stochastic optimization model based on VaB is developed for a risk-seeking wind power producer, which is formulated as a mixed-integer linear programming problem. By adjusting the parameters in the proposed model, the wind power producer can flexibly manage the potential high profits in the best-case scenarios from the probabilistic perspective. Finally, the proposed statistical measure and riskseeking stochastic optimization model are verified through case studies. |
| first_indexed | 2024-04-12T20:27:54Z |
| format | Article |
| id | doaj.art-17d48b48496d44bba817c50e14eff6b3 |
| institution | Directory Open Access Journal |
| issn | 2196-5420 |
| language | English |
| last_indexed | 2024-04-12T20:27:54Z |
| publishDate | 2022-01-01 |
| publisher | IEEE |
| record_format | Article |
| series | Journal of Modern Power Systems and Clean Energy |
| spelling | doaj.art-17d48b48496d44bba817c50e14eff6b32022-12-22T03:17:48ZengIEEEJournal of Modern Power Systems and Clean Energy2196-54202022-01-011051437144210.35833/MPCE.2021.0002189642711Statistical Measure for Risk-seeking Stochastic Wind Power Offering Strategies in Electricity MarketsDongliang Xiao0Haoyong Chen1Chun Wei2Xiaoqing Bai3School of Electric Power, South China University of Technology,Guangzhou,China,510641School of Electric Power, South China University of Technology,Guangzhou,China,510641College of Information Engineering, Zhejiang University of Technology,Hangzhou,ChinaSchool of Electrical Engineering, Guangxi University,Nanning,ChinaThis study proposes a statistical measure and a stochastic optimization model for generating risk-seeking wind power offering strategies in electricity markets. Inspired by the value at risk (VaR) to quantify risks in the worst-case scenarios of a profit distribution, a statistical measure is proposed to quantify potential high profits in the best-case scenarios of a profit distribution, which is referred to as value at best (VaB) in the best-case scenarios. Then, a stochastic optimization model based on VaB is developed for a risk-seeking wind power producer, which is formulated as a mixed-integer linear programming problem. By adjusting the parameters in the proposed model, the wind power producer can flexibly manage the potential high profits in the best-case scenarios from the probabilistic perspective. Finally, the proposed statistical measure and riskseeking stochastic optimization model are verified through case studies.https://ieeexplore.ieee.org/document/9642711/Electricity marketrisk-seekingstatistical measurestochastic optimizationwind power |
| spellingShingle | Dongliang Xiao Haoyong Chen Chun Wei Xiaoqing Bai Statistical Measure for Risk-seeking Stochastic Wind Power Offering Strategies in Electricity Markets Journal of Modern Power Systems and Clean Energy Electricity market risk-seeking statistical measure stochastic optimization wind power |
| title | Statistical Measure for Risk-seeking Stochastic Wind Power Offering Strategies in Electricity Markets |
| title_full | Statistical Measure for Risk-seeking Stochastic Wind Power Offering Strategies in Electricity Markets |
| title_fullStr | Statistical Measure for Risk-seeking Stochastic Wind Power Offering Strategies in Electricity Markets |
| title_full_unstemmed | Statistical Measure for Risk-seeking Stochastic Wind Power Offering Strategies in Electricity Markets |
| title_short | Statistical Measure for Risk-seeking Stochastic Wind Power Offering Strategies in Electricity Markets |
| title_sort | statistical measure for risk seeking stochastic wind power offering strategies in electricity markets |
| topic | Electricity market risk-seeking statistical measure stochastic optimization wind power |
| url | https://ieeexplore.ieee.org/document/9642711/ |
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