A Probabilistically Constrained Approach for the Energy Procurement Problem

Patrizia Beraldi, Antonio Violi, Maria Elena Bruni and Gianluca Carrozzino
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Patrizia Beraldi: Department of Mechanical, Energy and Management Engineering, University of Calabria, via P. Bucci 41/C, 87036 Rende (CS), Italy
Antonio Violi: Department of Mechanical, Energy and Management Engineering, University of Calabria, via P. Bucci 41/C, 87036 Rende (CS), Italy
Maria Elena Bruni: Department of Mechanical, Energy and Management Engineering, University of Calabria, via P. Bucci 41/C, 87036 Rende (CS), Italy
Gianluca Carrozzino: Department of Mechanical, Energy and Management Engineering, University of Calabria, via P. Bucci 41/C, 87036 Rende (CS), Italy

Energies, 2017, vol. 10, issue 12, 1-17

Abstract: The definition of the electric energy procurement plan represents a fundamental problem that any consumer has to deal with. Bilateral contracts, electricity market and self-production are the main supply sources that should be properly combined to satisfy the energy demand over a given time horizon at the minimum cost. The problem is made more complex by the presence of uncertainty, mainly related to the energy requirements and electricity market prices. Ignoring the uncertain nature of these elements can lead to the definition of procurement plans which are infeasible or overly expensive in a real setting. In this paper, we deal with the procurement problem under uncertainty by adopting the paradigm of joint chance constraints to define reliable plans that are feasible with a high probability level. Moreover, the proposed model includes in the objective function a risk measure to control undesirable effects caused by the random variations of the electricity market prices. The proposed model is applied to a real test case. The results show the benefit deriving from the stochastic optimization approach and the effect of considering different levels of risk aversion.

Keywords: energy procurement; chance constraints; 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: 2017
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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