Application of Portfolio Theory Based on CVaR in Determining Optimal Spinning Reserve with Consideration of Load and Wind Power Uncertainties

Abstract:

With the increased installed capacity of wind power in power system, determining optimal spinning reserve capacity is one of the most important problems in operation of electricity power system. CVaR (conditional value at risk) is introduced to calculate the risk of the cost associated with load shed and abandoning wind power with the consideration of load and wind power prediction uncertainties. Portfolio theory based on CVaR is used to build the Cost-CVaR model. Efficient frontier, which can support the system operators (SO) with the decision of optimal spinning reserve, can be obtained by solving the Cost-CVaR model. The analysis of RTS example can demonstrate the usefulness and efficiency of the model.

• Periodical: Advanced Materials Research (Volumes 724-725)
• Pages: 649-654
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.724-725.649
• Online since: August 2013
• Authors: Jun Li Wu, Bu Han Zhang, Zhen Yin Xiao, Kui Wang
• Keywords: Cost-CVaR Model, CVaR, Efficient Frontier, Portfolio Theory, Wind Power

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