Conditional-Robust-Profit-Based Optimization Model for Electricity Retailers with Shiftable Demand

Qi Zhang, Shaohua Zhang, Xian Wang, Xue Li and Lei Wu
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Qi Zhang: Department of Automation, Shanghai University, Shanghai 200444, China
Shaohua Zhang: Department of Automation, Shanghai University, Shanghai 200444, China
Xian Wang: Department of Automation, Shanghai University, Shanghai 200444, China
Xue Li: Department of Automation, Shanghai University, Shanghai 200444, China
Lei Wu: Department of Electrical and Computer Engineering, Stevens Institute of Technology, Hoboken, NJ 07030, USA

Energies, 2020, vol. 13, issue 6, 1-19

Abstract: This paper investigates the problem of how to deploy customers’ shiftable load (SL) for electricity retailers’ risk management under uncertainty of the day-ahead (DA) wholesale market price. The robust profit (RP) and the conditional robust profit (CRP) are introduced for a risk-averse retailer’s risk-reward trade-off analysis in its decision-making of electricity procurement from various options. A CRP-based bi-level optimization model is proposed for the risk-averse retailer to determine its electricity procurement strategy taking into consideration customers’ shiftable load. In the upper problem, the retailer decides its electricity procurement from various options and the SL incentive prices to maximize its CRP under a given confidence level, and in the lower problem, the customers shift their load according to the SL incentive prices to minimize their comprehensive costs including the discomfort cost caused by rescheduling electricity consumption. Finally, a case study is used to verify the effectiveness of this model. It is shown that the retailer can achieve larger profit and less risk by utilizing customers’ SL and the retailer’s risk-aversion level has an important impact on its electricity procurement and SL incentive strategies.

Keywords: risk-averse retailer; shiftable load; electricity procurement; conditional robust profit; risk management (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

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