Novel Bidding Decision Model for Generation Company Based on CVaR Model

Abstract:

It is an urgent problem to solve for generation companies that how to find the optimal bidding strategy to obtain the highest profits and to decrease the risk to the lowest level. This paper presented a new bidding decision model with risk management for generation companies based on the conditional value at risk (CVaR). In the process of building the optimal bidding decision models, three situations are considered separately, including only consider maximize the expected return or the CVaR value of benefit, and considering the benefit and risk (CVaR). By this method, the generation companies can be determined the two decision variables of bidding price and bidding output to maximize its revenue at the same time to declare the risk.

• Periodical: Advanced Materials Research (Volumes 732-733)
• Pages: 1438-1443
• DOI: https://doi.org/10.4028/www.scientific.net/AMR.732-733.1438
• Online since: August 2013
• Authors: Pin Jie Xie, Jian Chao Hou, Quan Sheng Shi
• Keywords: Bidding Strategy, Conditional Value-at-Risk (CVaR Model), Electricity Market

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