The coal inventory and supply are two major issues to concern for coal fired power plants. It is necessary to have a certain amount of coal reserves so as to maintain the stable power generation of a coal fired power plant. In the electricity market environment，fluctuations of electricity prices and power outputs of power plants concerned are inevitable as the results of market competition and load fluctuations. Similarly

the coal price in the coal market also exhibits fluctuating behaviours. To achieve the expected profits at the minimum conditional value at risk (CVaR)

the power plant needs to make an appropriate planning for coal inventory. Given this background and based on the risk management theory developed in the financial industry

a nonlinear programming mean CVaR model for optimizing the coal inventory is developed by taking the CVaR as a risk measuring index. In the developed optimization model

the objective is to minimize the CVaR under a given expected profit

and some uncertainties are taken into account including the coal price

electricity price

coal consumption

the execution rates of the contracted coal and the coal purchased from the coal market. Then

the developed optimization model is transformed into a linear programming problem so as to improve the solving efficiency. Finally

a sample example is employed to demonstrate the feasibility and efficiency of the model and algorithm developed.