IEEE Transactions on Power Systems · 2007 · 220 citations · 20 references
BusinessDecision SciencesElectrical EngineeringEnergy EconomicsOptimizationStochastic ModelingElectricity MarketsOptimal ContractingRisk AversionRisk-sensitive Decision MakingStochastic OptimizationStochastic ProgrammingBilateral Electricity ContractsConditional Value-at-riskConditional Value-at-risk OptimizationProcurement With Risk AversionRisk-averse Optimization
This paper provides a technique based on stochastic programming to optimally solve the electricity procurement problem faced by a large consumer. Supply sources include bilateral contracts, a limited amount of self-production and the pool. Risk aversion is explicitly modeled using the conditional value-at-risk methodology. Results from a realistic case study are provided and analyzed
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