TY - GEN
T1 - Assessment of conditional value at risk (CVaR) in transmission investment using cross entropy method
AU - Kim, Jina
AU - Lee, Jaehee
AU - Joo, Sung Kwan
PY - 2009/12/16
Y1 - 2009/12/16
N2 - This paper presents a risk assessment method to measure the Conditional Value at Risk (CVaR) of a transmission expansion project using the Cross-Entropy (CE) method. In the transmission investment, there are various uncertainties such as demand, fuel costs and electricity prices. These uncertain factors can influence the future cash flow of a transmission expansion project and become risk factors for an investor. The CVaR can be used to give an investor an accurate indication of the potential losses for the transmission investment. However, the use of the Crude Monte Carlo (CMC) method in CVaR calculation requires a large computational effort to obtain reliable results. In this paper, the CE method is applied to reduce the computational effort in the CVaR calculation. A numerical example is presented to illustrate the effectiveness of the proposed CE-based CVaR method.
AB - This paper presents a risk assessment method to measure the Conditional Value at Risk (CVaR) of a transmission expansion project using the Cross-Entropy (CE) method. In the transmission investment, there are various uncertainties such as demand, fuel costs and electricity prices. These uncertain factors can influence the future cash flow of a transmission expansion project and become risk factors for an investor. The CVaR can be used to give an investor an accurate indication of the potential losses for the transmission investment. However, the use of the Crude Monte Carlo (CMC) method in CVaR calculation requires a large computational effort to obtain reliable results. In this paper, the CE method is applied to reduce the computational effort in the CVaR calculation. A numerical example is presented to illustrate the effectiveness of the proposed CE-based CVaR method.
KW - Conditional value at risk (CVaR)
KW - Cross-entropy (CE)
KW - Transmission investment
UR - http://www.scopus.com/inward/record.url?scp=76249126539&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=76249126539&partnerID=8YFLogxK
U2 - 10.1109/TD-ASIA.2009.5356862
DO - 10.1109/TD-ASIA.2009.5356862
M3 - Conference contribution
AN - SCOPUS:76249126539
SN - 9781424452309
T3 - Transmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009
BT - Transmission and Distribution Conference and Exposition
T2 - Transmission and Distribution Conference and Exposition: Asia and Pacific, T and D Asia 2009
Y2 - 26 October 2009 through 30 October 2009
ER -