Optimal purchasing strategies for large power consumers by two-stage stochastic programming with linear partial information

摘要

In the electricity market, large power consumers can purchase electrical energy in terms of the contract, spot and spinning reserve market against their self-generators. The problem of building optimal purchase strategies for large consumers is a very active research topic in China's electric power markets at the present. In this paper, one stochastic programming model is developed to build optimal purchasing strategies for large power consumers under certainty. The two-stage stochastic programming with linear partial information on the probability distribution (LPI) is employed to model the optimal purchasing strategies for large electricity consumer under uncertain market prices. To evaluate the second recourse value under the linear partial information of the probability distribution, the maximization of the minimal expected value (MaxEmin) is applied to define the recourse function. A modified L-shaped algorithm is designed to solve the mathematical problem. Finally, historical data from the Californian electricity market is served for demonstrating the feasibility and efficiency of the developed method.