The analysis on the optimization problem for LDC electricity procurement

With CVaR(conditional value at risk) as the risk measurement,a novel mean-CVaR model for the local distribution company(LDC) was proposed.Based on the actual market data,future electricity prices are assumed to be lognormal distributed.Then this model was applied to optimize procurement portfolio and assess the risk for the LDC in three markets.Moreover,it was compared with the mean-variance model in the original reference.The simulation results demonstrate that the proposed model can guarantee the LDC to bear the minimum CVaR risk within the expected purchase cost.It provides the results more reflecting the real risk than the mean-variance model.