Optimal Investment for Retail Company in Electricity Market

被引:35
作者
He, Jianping [1 ,2 ]
Cai, Lin [2 ]
Cheng, Peng [1 ]
Fan, Jialu [3 ]
机构
[1] Zhejiang Univ, State Key Lab Ind Control Technol, Innovat Joint Res Ctr Ind Cyber Phys Syst, Hangzhou 310027, Zhejiang, Peoples R China
[2] Univ Victoria, Dept Elect & Comp Engn, Victoria, BC V8W 3P6, Canada
[3] Northeastern Univ, State Key Lab Synthet Automat Proc Ind, Shenyang 110004, Peoples R China
基金
中国博士后科学基金; 加拿大自然科学与工程研究理事会;
关键词
Electricity market; optimal investment; risk management; smart grid; DEMAND RESPONSE; SELLING PRICE; MANAGEMENT; PROCUREMENT; RISK; GENERATION; MODELS;
D O I
10.1109/TII.2015.2475215
中图分类号
TP [自动化技术、计算机技术];
学科分类号
080201 [机械制造及其自动化];
摘要
Considering an optimal investment problem for a retailer in electricity market, the objective is to seek the optimal investment decision that maximizes the weighted sum of the expected return and the variance of wealth. Unlike existing works, the price fluctuation of both the wholesale and retail side of electricity market is considered, and the retailer can invest its wealth in electricity market and traditional financial market simultaneously. Hence, there is a complicated wealth dynamic, which is the main challenge in our work. In this paper, by utilizing the method of Lagrange multiplier and the classical Tchebycheff inequality, we first show that the investment problem is a quadratic programming problem in terms of the decision variable, and thus has a unique optimal solution. Then, a closed-form optimal solution is derived by solving the stationary equation and comparing the feasible solution interval. Based on the optimal solution, we find the key price, which will affect the investment is the wholesale price rather than the retail price. Moreover, with a similar analysis approach, we also provide the optimal solution considering a more general model, which allows the retailer to purchase the electricity temporarily to avoid the supply shortage. Extensive simulations demonstrate the better performance of the proposed solution over the Kelly strategy widely used in the financial market.
引用
收藏
页码:1210 / 1219
页数:10
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