Optimal selling price and energy procurement strategies for a retailer in an electricity market

In an electricity market, the retailer sets up contracts with the wholesale side for purchasing electricity and with the customers for its selling. This paper proposes a mathematical method based on mixed-integer stochastic programming to determine the optimal sale price of electricity to customers and the electricity Procurement policy of a retailer for a specified period. The retailer has Multiple choices for electricity procurement, such as spot market, forward contracts, call options and self production. Risk is considered and modeled by conditional value-at-risk methodology. Also. the competition between retailers is modeled using a market share function. A case study is illustrated to demonstrate the capability of the proposed method. (C) 2008 Elsevier B.V. All rights reserved.