Application of Cost-CVaR model in determining optimal spinning reserve for wind power penetrated system

• The paper proposes a Cost-CVaR model to determine optimal spinning reserve requirements in electricity market.
• CVaR is applied to evaluate the risk caused by the uncertainties of load and wind power forecast.
• Risk management tool is proposed to make a reasonable tradeoff between risks and profits at various risk levels.

Spinning reserve (SR) is an important resource for system operators (SO) to cope with unpredictable imbalances between load and generation, which is caused by load forecast errors and unexpected deviations of wind power. The increased installed capacity of wind power adds the difficulty to predict total amount of injected power accurately and increase risk of load loss and wind curtailment. In view of large wind power penetrated in system, the paper proposes a Cost-CVaR model to determine optimal reserve requirements in electricity market. CVaR is applied to evaluate the risk caused by the uncertainties of load and wind power forecast. Risk management tool is proposed to make a reasonable tradeoff between risks and profits at various risk levels. The model is tested on a regional grid in China. Then the proposed method is compared with probabilistic and deterministic method. The results demonstrate the usefulness and efficiency of the proposed method.