A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity Markets
The development of the concentrating solar power (CSP) plant as a new dispatchable resource that can participate in the electricity markets as an independent power producer and coordinate intermittent renewables has attracted much attention recently. In this work, optimal offering strategies of a pr...
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doaj-ca3dc7238c61493582fc1157e2ce30832021-03-30T02:27:02ZengIEEEIEEE Access2169-35362020-01-018857728578310.1109/ACCESS.2020.29920509085382A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity MarketsYuxuan Zhao0https://orcid.org/0000-0001-7912-6332Shengyuan Liu1https://orcid.org/0000-0001-9722-135XZhenzhi Lin2https://orcid.org/0000-0003-2125-9604Fushuan Wen3https://orcid.org/0000-0002-6838-2602Li Yang4https://orcid.org/0000-0003-1804-9825Qin Wang5https://orcid.org/0000-0001-6585-2755College of Electrical Engineering, Zhejiang University, Hangzhou, ChinaCollege of Electrical Engineering, Zhejiang University, Hangzhou, ChinaCollege of Electrical Engineering, Zhejiang University, Hangzhou, ChinaCollege of Electrical Engineering, Zhejiang University, Hangzhou, ChinaCollege of Electrical Engineering, Zhejiang University, Hangzhou, ChinaElectric Power Research Institute, Palo Alto, CA, USAThe development of the concentrating solar power (CSP) plant as a new dispatchable resource that can participate in the electricity markets as an independent power producer and coordinate intermittent renewables has attracted much attention recently. In this work, optimal offering strategies of a price-taker CSP plant in the day-ahead (DA) and real-time (RT) electricity markets are addressed considering non-stochastic uncertainties (NSUs) from the thermal production of the CSP plant and stochastic uncertainties (SUs) from the market prices as well as the risk attitude of the CSP plant concerned. A hybrid stochastic information gap approach (SIGA) integrating the well-established information gap decision theory with the mixed conditional value at risk (CVaR) is proposed to hedge the revenue risk against NSUs and SUs in the offering problem based on the risk preference of the decision maker. A two-stage architecture is utilized for framing the DA and RT offering problems, where the first-stage co-optimizes offering strategies in the DA and RT markets, while the second-stage determines the actual RT hourly offering strategy in a rolling horizon manner. Case studies show that the SIGA can make optimal offering strategies against the non-stochastic thermal production and stochastic market prices given the risk attitude of the CSP plant. Comparisons also demonstrate that the SIGA could be an effective tool to manage coexistent NSUs and SUs.https://ieeexplore.ieee.org/document/9085382/Concentrating solar power (CSP)information gap decision theory (IGDT)mixed conditional value at riskoffering strategyrisk hedginguncertainty management |
collection |
DOAJ |
language |
English |
format |
Article |
sources |
DOAJ |
author |
Yuxuan Zhao Shengyuan Liu Zhenzhi Lin Fushuan Wen Li Yang Qin Wang |
spellingShingle |
Yuxuan Zhao Shengyuan Liu Zhenzhi Lin Fushuan Wen Li Yang Qin Wang A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity Markets IEEE Access Concentrating solar power (CSP) information gap decision theory (IGDT) mixed conditional value at risk offering strategy risk hedging uncertainty management |
author_facet |
Yuxuan Zhao Shengyuan Liu Zhenzhi Lin Fushuan Wen Li Yang Qin Wang |
author_sort |
Yuxuan Zhao |
title |
A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity Markets |
title_short |
A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity Markets |
title_full |
A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity Markets |
title_fullStr |
A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity Markets |
title_full_unstemmed |
A Mixed CVaR-Based Stochastic Information Gap Approach for Building Optimal Offering Strategies of a CSP Plant in Electricity Markets |
title_sort |
mixed cvar-based stochastic information gap approach for building optimal offering strategies of a csp plant in electricity markets |
publisher |
IEEE |
series |
IEEE Access |
issn |
2169-3536 |
publishDate |
2020-01-01 |
description |
The development of the concentrating solar power (CSP) plant as a new dispatchable resource that can participate in the electricity markets as an independent power producer and coordinate intermittent renewables has attracted much attention recently. In this work, optimal offering strategies of a price-taker CSP plant in the day-ahead (DA) and real-time (RT) electricity markets are addressed considering non-stochastic uncertainties (NSUs) from the thermal production of the CSP plant and stochastic uncertainties (SUs) from the market prices as well as the risk attitude of the CSP plant concerned. A hybrid stochastic information gap approach (SIGA) integrating the well-established information gap decision theory with the mixed conditional value at risk (CVaR) is proposed to hedge the revenue risk against NSUs and SUs in the offering problem based on the risk preference of the decision maker. A two-stage architecture is utilized for framing the DA and RT offering problems, where the first-stage co-optimizes offering strategies in the DA and RT markets, while the second-stage determines the actual RT hourly offering strategy in a rolling horizon manner. Case studies show that the SIGA can make optimal offering strategies against the non-stochastic thermal production and stochastic market prices given the risk attitude of the CSP plant. Comparisons also demonstrate that the SIGA could be an effective tool to manage coexistent NSUs and SUs. |
topic |
Concentrating solar power (CSP) information gap decision theory (IGDT) mixed conditional value at risk offering strategy risk hedging uncertainty management |
url |
https://ieeexplore.ieee.org/document/9085382/ |
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