Mean-Conditional Value-at-Risk Optimal Energy Storage Operation in the Presence of Transaction Costs

AbstractWind power's uncertainty is from the intermittency and fluctuation of wind speed, which brings a great challenge to solving the power system's dynamic economic dispatch problem. With the wind-storage combined system, this paper proposes a dynamic economic dispatch model considering AC optimal power flow based on Conditional Value-at-Risk ($$CVaR$$ CVaR ). Since the proposed model is hard to solve, we use the big-M method and second-order cone description technique to transform it into a trackable mixed-integer second-order conic programming (MISOCP) model. By comparing the dispatching cost of the IEEE 30-bus system and the IEEE 118-bus system at different confidence levels, it is indicated that $$CVaR$$ CVaR method can adequately estimate dispatching risk and assist decision-makers in making reasonable dispatching schedules according to their risk tolerance. Meanwhile, the optimal operational energy storage capacity and initial/final energy storage state can be determined by analyzing the dispatching cost risk under different storage capacities and initial/final states.

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Stochastic risk-averse coordinated scheduling of grid integrated energy storage units in transmission constrained wind-thermal systems within a conditional value-at-risk framework

Energy ◽

10.1016/j.energy.2016.07.089 ◽

2016 ◽

Vol 113 ◽

pp. 762-775 ◽

Cited By ~ 34

Author(s):

Reza Hemmati ◽

Hedayat Saboori ◽

Saeid Saboori

Keyword(s):

At Risk ◽

Energy Storage ◽

Value At Risk ◽

Conditional Value At Risk ◽

Risk Averse ◽

Thermal Systems ◽

Coordinated Scheduling ◽

Risk Framework ◽

Storage Units ◽

Stochastic Risk

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Optimal Control of Energy Storage in a Microgrid by Minimizing Conditional Value-at-Risk

IEEE Transactions on Sustainable Energy ◽

10.1109/tste.2016.2543024 ◽

2016 ◽

Vol 7 (3) ◽

pp. 1264-1273 ◽

Cited By ~ 53

Author(s):

Raheleh Khodabakhsh ◽

Shahin Sirouspour

Keyword(s):

At Risk ◽

Optimal Control ◽

Energy Storage ◽

Value At Risk ◽

Conditional Value At Risk

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A New Portfolio Rebalancing Model with Transaction Costs

Journal of Applied Mathematics ◽

10.1155/2014/942374 ◽

2014 ◽

Vol 2014 ◽

pp. 1-7 ◽

Cited By ~ 2

Author(s):

Meihua Wang ◽

Cheng Li ◽

Honggang Xue ◽

Fengmin Xu

Keyword(s):

At Risk ◽

Transaction Costs ◽

Cost Function ◽

Transaction Cost ◽

Value At Risk ◽

Financial Data ◽

Conditional Value At Risk ◽

Expected Return ◽

Portfolio Rebalancing ◽

Proposed Model

A portfolio rebalancing model with self-finance strategy and consideration of V-shaped transaction cost is presented in this paper. Our main contribution is that a new constraint is introduced to confirm that the rebalance necessity of the existing portfolio needs to be adjusted. The constraint is constructed by considering both the transaction amount and transaction cost without any additional supply to the investment amount. The V-shaped transaction cost function is used to calculate the transaction cost of the portfolio, and conditional value at risk (CVaR) is used to measure the risk of the portfolios. Computational tests on practical financial data show that the proposed model is effective and the rebalanced portfolio increases the expected return of the portfolio and reduces the CVaR risk of the portfolio.

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