| Citation:Dongliang Xiao,Haoyong Chen,Weijun Cai,Chun Wei,Zhendong Zhao.Integrated risk measurement and control for stochastic energy trading of a wind storage system in electricity markets[J].Protection and Control of Modern Power Systems,2023,V8(4):1002-1012[Copy] |
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| Abstract: |
| To facilitate wind energy use and avoid low returns, or even losses in extreme cases, this paper proposes an integrated risk measurement and control approach to jointly manage multiple statistical properties of the expected proft distribution for a wind storage system. First, a risk-averse stochastic decision-making framework and multi-type risk measurements, including the conditional value at Risk (CVaR), value at risk (VaR) and shortfall probability (SP), are described in detail. To satisfy the various needs of multi-type risk-averse decision makers, integrated risk measurement and control approaches are then proposed by jointly considering the expected, boundary and probability values of the extreme results. These are managed using CVaR, VaR and SP, respectively. Finally, the efectiveness
of the proposed risk control strategy is verifed by conducting case studies with realistic market data, and the results of diferent risk control strategies are analyzed in depth. The impacts of the risk parameters of the decision maker, the energy capacity of the battery storage and the price diference between the day-ahead and real-time markets on the expected profts and risks are investigated in detail |
| Key words: Electricity market, Risk measurement, Stochastic optimization, Wind storage system, Shortfall probability |
| DOI：10.1186/s41601-023-00329-3 |
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| Fund:This paper is support by the National Key Research and Development
program of China (No. 2022YFB2403500), National Natural Science Foundation of China (No. 52207104) and China Postdoctoral Science Foundation (No.
2022M711202). |
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