Risk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices

The planning of the park-level integrated energy system (PIES) is a long-term process, it faces risk caused by the volatility of energy prices including the natural gas price (NGP) and the electricity price (EP). The uncertainties of them are complex and have time-varying correlation, which influenc...

Descripción completa

Guardado en:

Detalles Bibliográficos
Autores principales:	Yan Cao, Congshan Wang, Yunfei Mu, Hongjie Jia, Kai Yuan, Yi Song
Formato:	article
Lenguaje:	EN
Publicado:	Elsevier 2021
Materias:	Park-level integrated energy system Risk assessment Uncertainty Generalized autoregressive conditional heteroscedasticity (GARCH) Copula function Conditional value at risk (CVaR) Electrical engineering. Electronics. Nuclear engineering TK1-9971
Acceso en línea:	https://doaj.org/article/2e5a3ee5a83e434bb24a947fd593907e
Etiquetas:	Agregar Etiqueta Sin Etiquetas, Sea el primero en etiquetar este registro!

id	oai:doaj.org-article:2e5a3ee5a83e434bb24a947fd593907e
record_format	dspace
spelling	oai:doaj.org-article:2e5a3ee5a83e434bb24a947fd593907e2021-11-26T04:32:37ZRisk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices2352-484710.1016/j.egyr.2021.08.019https://doaj.org/article/2e5a3ee5a83e434bb24a947fd593907e2021-11-01T00:00:00Zhttp://www.sciencedirect.com/science/article/pii/S2352484721006223https://doaj.org/toc/2352-4847The planning of the park-level integrated energy system (PIES) is a long-term process, it faces risk caused by the volatility of energy prices including the natural gas price (NGP) and the electricity price (EP). The uncertainties of them are complex and have time-varying correlation, which influence the results of risk losses evaluation. To resist the future risk and guide the planning of PIES, a risk assessment method considering the uncertainty and dynamic correlation of energy prices is proposed in this paper. Considering the heteroscedasticity effect of NGP and EP, the time-varying marginal distribution models of them are established using the generalized autoregressive conditional heteroscedasticity (GARCH) model. Subsequently, resorting to the dynamic Copula function and dynamic conditional correlation (DCC) model, the dynamic joint distribution of NGP and EP is established, which describes the dynamic correlation of NGP and EP. On this basis, the Monte Carlo method is adopted to generate scenarios of NGP and EP to simulate possible situations. Then, the conditional value at risk (CVaR) is introduced as the risk measure to quantify the risk losses for the PIES planning schemes. Simulation results verified the effectiveness of the proposed method, which can present different correlation features of energy prices in different time periods and beneficial to evaluate the risk losses. And the utilization of multi-energy complementary supply and distributed renewable energy can improve the risk-resistant ability of the PIES.Yan CaoCongshan WangYunfei MuHongjie JiaKai YuanYi SongElsevierarticlePark-level integrated energy systemRisk assessmentUncertaintyGeneralized autoregressive conditional heteroscedasticity (GARCH)Copula functionConditional value at risk (CVaR)Electrical engineering. Electronics. Nuclear engineeringTK1-9971ENEnergy Reports, Vol 7, Iss , Pp 451-459 (2021)
institution	DOAJ
collection	DOAJ
language	EN
topic	Park-level integrated energy system Risk assessment Uncertainty Generalized autoregressive conditional heteroscedasticity (GARCH) Copula function Conditional value at risk (CVaR) Electrical engineering. Electronics. Nuclear engineering TK1-9971
spellingShingle	Park-level integrated energy system Risk assessment Uncertainty Generalized autoregressive conditional heteroscedasticity (GARCH) Copula function Conditional value at risk (CVaR) Electrical engineering. Electronics. Nuclear engineering TK1-9971 Yan Cao Congshan Wang Yunfei Mu Hongjie Jia Kai Yuan Yi Song Risk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices
description	The planning of the park-level integrated energy system (PIES) is a long-term process, it faces risk caused by the volatility of energy prices including the natural gas price (NGP) and the electricity price (EP). The uncertainties of them are complex and have time-varying correlation, which influence the results of risk losses evaluation. To resist the future risk and guide the planning of PIES, a risk assessment method considering the uncertainty and dynamic correlation of energy prices is proposed in this paper. Considering the heteroscedasticity effect of NGP and EP, the time-varying marginal distribution models of them are established using the generalized autoregressive conditional heteroscedasticity (GARCH) model. Subsequently, resorting to the dynamic Copula function and dynamic conditional correlation (DCC) model, the dynamic joint distribution of NGP and EP is established, which describes the dynamic correlation of NGP and EP. On this basis, the Monte Carlo method is adopted to generate scenarios of NGP and EP to simulate possible situations. Then, the conditional value at risk (CVaR) is introduced as the risk measure to quantify the risk losses for the PIES planning schemes. Simulation results verified the effectiveness of the proposed method, which can present different correlation features of energy prices in different time periods and beneficial to evaluate the risk losses. And the utilization of multi-energy complementary supply and distributed renewable energy can improve the risk-resistant ability of the PIES.
format	article
author	Yan Cao Congshan Wang Yunfei Mu Hongjie Jia Kai Yuan Yi Song
author_facet	Yan Cao Congshan Wang Yunfei Mu Hongjie Jia Kai Yuan Yi Song
author_sort	Yan Cao
title	Risk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices
title_short	Risk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices
title_full	Risk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices
title_fullStr	Risk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices
title_full_unstemmed	Risk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices
title_sort	risk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices
publisher	Elsevier
publishDate	2021
url	https://doaj.org/article/2e5a3ee5a83e434bb24a947fd593907e
work_keys_str_mv	AT yancao riskassessmentofparklevelintegratedenergysystemconsideringuncertaintyanddynamiccorrelationofenergyprices AT congshanwang riskassessmentofparklevelintegratedenergysystemconsideringuncertaintyanddynamiccorrelationofenergyprices AT yunfeimu riskassessmentofparklevelintegratedenergysystemconsideringuncertaintyanddynamiccorrelationofenergyprices AT hongjiejia riskassessmentofparklevelintegratedenergysystemconsideringuncertaintyanddynamiccorrelationofenergyprices AT kaiyuan riskassessmentofparklevelintegratedenergysystemconsideringuncertaintyanddynamiccorrelationofenergyprices AT yisong riskassessmentofparklevelintegratedenergysystemconsideringuncertaintyanddynamiccorrelationofenergyprices
_version_	1718409831625261056

Risk assessment of park-level integrated energy system considering uncertainty and dynamic correlation of energy prices

Ejemplares similares