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1

Optimal scheduling of Virtual Power Plant with risk management

Xia Y., Liu J.

Journal of Power Technologies

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2016

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Vol. 96, nr 1

49--56

EN

Due to intense electricity consumption, environmental concerns and technological development, a great number of renewable distributed resources have been widely installed in the distributed network. However, the reality that renewable distributed resources frequently fluctuate under high penetration makes effective use a challenge. Fortunately, with improved communication architecture and control techniques, this could be achieved by a Virtual Power Plant (VPP). VPP can aggregate various resources in a distributed generation portfolio, by creating one single operating profile. The aim of this paper is mainly to analyze optimal scheduling of VPP to maximize its profit, with due consideration given to the uncertainty of renewable energy output, such as wind power, and to make the energy mix respond to system need. A risk quantization method (CVaR) is introduced to deal with uncertainty. This paper presents a VPP scheduling model, which takes VPP total operation cost, traded electricity cost, unit earnings, supply-demand balancing and other constraints into account, with a CVaR assessment method embedded into this model. According to the scenarios generated by uncertainty of wind power output, numerical results for a proposed case are discussed. These results show the expected profit of VPP scheduling is closely associated with different degrees of confidence , which is a great help for VPP operators when making the tradeoff between risk and profit.

2

Computing VaR and AVaR in infinitely divisible distributions

Kim Y. S., Rachev S. T., Bianchi M. L., Fabozzi F. J.

Probability and Mathematical Statistics

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2010

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Vol. 30, Fasc. 2

223--245

EN

In this paper we derive closed-form solutions for the cumulative distribution function and the average value-at-risk for five subclasses of the infinitely divisible distributions: classical tempered stable distribution, Kim–Rachev distribution, modified tempered stable distribution, normal tempered stable distribution, and rapidly decreasing tempered stable distribution. We present empirical evidence using the daily performance of the S&P 500 for the period January 2, 1997 through December 29, 2006.

3

O wybranych własnościach miar i ryzyka

Trzpiot G.

Badania Operacyjne i Decyzje

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2004

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nr 3-4

91-98

PL

Powszechnie wykorzystywane do pomiaru ryzyka miary, jakimi są odchylenie standardowe oraz Value-art.-risk nie zawsze oddają charakter mierzonego ryzyka. Dla uogólnienia problematyki pomiaru ryzyka zaproponowano podejście związane z koherentnymi miarami ryzyka. W pracy omówiono aksjomatykę związaną z proponowanym podejściem oraz przegląd miar związanych z omawianą aksjomatyką. Przedstawiono również dyskusję omawianych własności oraz możliwości praktycznych zastosowań.

EN

The widely used risk as standard deviations and value at risk do not always reflect risk preferences accurately. To overcome this problem we show coherent risk approach. For making the overview of the problem of risk measure we propose a coherent risk measure approach. We started from the definition of risk (market and other) and we took a close look at construction of risk measures. We present a set of axioms according to this approach and a collection of coherent risk measures. In particular, we describe quintile risk measures, distortion risk measures with detailed presentation of the most frequent distortion functions in use. The next propositions are risk measures based on lower partial moments. We show some properties of these measures and also discuss limitations of such measures in practical applications.