Retailer's Power Procurement Considering Risk from Volatile Market Prices utilizing the Fractile Model in Chance Constraint Problem

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  • Sekizaki Shinya
    Department of Electrical Systems and Mathematical Engineering, Faculty of Engineering, Hiroshima University
  • Nishizaki Ichiro
    Department of Electrical Systems and Mathematical Engineering, Faculty of Engineering, Hiroshima University
  • Hayashida Tomohiro
    Department of Electrical Systems and Mathematical Engineering, Faculty of Engineering, Hiroshima University

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  • 機会制約付き最適化問題におけるFractile modelを用いた市場価格変動リスクを考慮した小売業者の電力調達問題
  • キカイ セイヤク ツキ サイテキ カ モンダイ ニ オケル Fractile model オ モチイタ シジョウ カカク ヘンドウ リスク オ コウリョ シタ コウリギョウシャ ノ デンリョク チョウタツ モンダイ

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Abstract

This paper presents a stochastic decision making framework of the retailer for the power procurement in the deregulated electricity market taking into account the risk induced by the volatile market prices. Unlike conventional related literature, the paper incorporates the three types of trades, which are a forward contract, a spot market, and a real-time market for adjusting the imbalance, in the transaction model with rational responses of the consumers to the selling prices offered by the retailer. For the risk hedge using the forward contract, it is quite significant to reflect the risk attitude of the retailer on decision making in market transactions. In the literature, the weighting method is often used to formulate the retailer's decision making for the power procurement. In the weighting method, however, it is difficult to determine both the weighting coefficients and the confidential level associated with the risk so as to reflect the risk attitude of the retailer adequately, particularly in the bi-level programming problem. In this paper, in order to naturally model the retailer's decision making, we employ the fractile model in which the target variable is maximized subject to the probability that the profit is not less than the target variable exceeds a given assured level given by the retailer according to the risk attitude. Through the computational experiments, we demonstrate the retailer's behavior with satisfactory level for the profit and risk in the deregulated electricity market.

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