CVaR-based decision-making model for interruptible load management

Abstract

Integration of risk factors into decision-making model for interruptible load management plays a valuable role for power suppliers to mitigate price risks and improve their profitability in electricity market environment. A decision-making model is developed for power suppliers to determine the interruptible load volume purchased from interruptible consumers. The power suppliers' tradeoff between the wholesale market and interruptible load is considered as a portfolio selection problem. The conditional value-at-risk is employed to describe and measure the risk faced by power suppliers. In addition, a risk constraint is added to the decision-making model to take into account the risk preference of power suppliers. The Monte Carlo simulation-based numerical examples are presented to validate the reasonableness and effectiveness of the proposed model. It is also shown that the more averse to the risk, the larger volume of interruptible load the power supplier will choose. Furthermore, in order to hedge the wholesale market risk, the volume of interruptible load increases with increasing uncertainty in the wholesale market price.