A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity Markets

IEEE Access

Li Yang¹  Zhenzhi Lin¹  Fushuan Wen¹  Yuxuan Zhao¹  Shengyuan Liu¹  Qin Wang² 

[1] College of Electrical Engineering, Zhejiang University, Hangzhou, China;Electric Power Research Institute, Palo Alto, CA, USA;

关键词: Concentrating solar power (CSP);    information gap decision theory (IGDT);    mixed conditional value at risk;    offering strategy;    risk hedging;    uncertainty management;   

DOI  :  10.1109/ACCESS.2020.2992050

来源: DOAJ

【 摘 要 】

The development of the concentrating solar power (CSP) plant as a new dispatchable resource that can participate in the electricity markets as an independent power producer and coordinate intermittent renewables has attracted much attention recently. In this work, optimal offering strategies of a price-taker CSP plant in the day-ahead (DA) and real-time (RT) electricity markets are addressed considering non-stochastic uncertainties (NSUs) from the thermal production of the CSP plant and stochastic uncertainties (SUs) from the market prices as well as the risk attitude of the CSP plant concerned. A hybrid stochastic information gap approach (SIGA) integrating the well-established information gap decision theory with the mixed conditional value at risk (CVaR) is proposed to hedge the revenue risk against NSUs and SUs in the offering problem based on the risk preference of the decision maker. A two-stage architecture is utilized for framing the DA and RT offering problems, where the first-stage co-optimizes offering strategies in the DA and RT markets, while the second-stage determines the actual RT hourly offering strategy in a rolling horizon manner. Case studies show that the SIGA can make optimal offering strategies against the non-stochastic thermal production and stochastic market prices given the risk attitude of the CSP plant. Comparisons also demonstrate that the SIGA could be an effective tool to manage coexistent NSUs and SUs.

【 授权许可】

Unknown