A stochastic programming approach to electric energy procurement for large consumers

This paper provides a technique based on stochastic programming to optimally solve the electricity procurement problem faced by a large consumer. Supply sources include bilateral contracts, a limited amount of self-production and the pool. Risk aversion is explicitly modeled using the conditional value-at-risk methodology. Results from a realistic case study are provided and analyzed. Index Terms--Conditional value-at-risk (CVaR), electricity procurement, large consumer, stochastic programming.