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Frequency Based Risk Assessment of a Power Producer in Indian Electricity Market

  • Debasmita Panda EMAIL logo , S. N Singh und Vimal Kumar
Veröffentlicht/Copyright: 18. August 2017

Abstract

The power producers in Indian electricity market face risks pertaining to real time frequency deviation and spot price volatility. An increase in real time demand lowers the system frequency. This forces the producers to draw unscheduled interchange (UI) power by paying a penalty, known as availability based tariff (ABT). The paper proposes a novel framework for optimal portfolio strategy selection of a power producer using uncertainty of frequency deviation and spot electricity market. Mean variance portfolio theory is used to model the stochastic optimization problem. In Stage 1, the operational ABT uncertainty structure is modeled and optimization is performed to determine optimal portfolio allocation, considering spot market and bilateral contract as available trading options. In stage 2, optimal involvement of options to hedge the cost side risk of unscheduled power interchange (UPI) is studied. Spot price volatility is introduced during hedging analysis and mean absolute percentage error (MAPE) technique is used to forecast the spot price range. A stochastic pseudo inspired particle swarm optimization (PIPSO) technique is proposed for enhanced profit-risk tradeoff. The model reflects that, spot and option trading could offer high risk protection vis-à-vis bilateral contract and can predominantly help in managing frequency penalty risk.

Nomenclature

a

quadratic cost coefficient (INR/(MW)2)

b

linear cost coefficient (INR/MWh)

c

no load cost coefficient (INR/hr)

CG,t

operation cost of power producer during each time interval (INR/hr)

Exp()

expectation operator

INR

Indian Rupees

Ld

load value for each trading interval (MWh)

Pb

energy bid through bilateral contract (MWh)

Pbmax

maximum limit on bilateral contract trading during each time interval (MWh)

Pbmin

minimum limit on bilateral contract trading during each time interval (MWh)

PG,t

total generation in each trading interval (MWh)

PG,tmax

maximum power output of generating unit in each trading interval (MW)

PG,tmin

minimum power output of generating unit in each trading interval (MW)

Po,t

energy trade through options in each trading interval (MWh)

Ps,t

energy bid for spot market trading in each trading interval (MWh)

PUI,t

random imbalance amount in each trading interval (MWh)

UPIt

unscheduled power interchange during each time interval (MWh)

Var()

variance operator

η

risk aversion factor

λb

energy price of bilateral contract (INR/MWh)

λo

price of option contract (INR/MWh)

λop

premium price of option contract (INR/MWh)

λs,t

pool price in each trading interval (INR/MWh)

λUIft

frequency dependent UI penalty value in each trading interval (INR/MWh)

ξ

percentage of unscheduled power interchange

References

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Received: 2016-8-29
Revised: 2017-7-6
Accepted: 2017-8-1
Published Online: 2017-8-18

© 2017 Walter de Gruyter GmbH, Berlin/Boston

Heruntergeladen am 20.9.2025 von https://www.degruyterbrill.com/document/doi/10.1515/ijeeps-2016-0180/html?lang=de
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