One of Victoria's three remaining coal-fired power stations is out of action, causing wholesale power prices to soar.

All four units at AGL's Loy Yang A power station in the Latrobe Valley shut down just after 2pm. 

The company says it is investigating the cause and will provide an update in the next hour.

When fully operational, Loy Yang A has a maximum capacity of 2,200 megawatts.

Victorian wholesale power prices increased to $16,600 per megawatt hour, compared to $29.61 in Queensland and $286.97 in NSW.

Just after 2pm, the Australian Energy Market Operator (AEMO) issued a notice saying it was beginning load shedding, or switching customers off due to a lack of supply, in Victoria.

Many parts of Victoria recorded temperatures in the mid to high 30s today.

Cause being investigated

The AEMO said in a statement it was investigating the cause of the power outages.

"In Victoria, the Moorabool to Sydenham 500 kilovolt transmission line tripped, multiple generators disconnected from the grid and some consumers experienced a loss of electricity supply," it stated.

"To keep the power system secure, AEMO has directed AusNet Services to enact load shedding.

"Controlled load shedding is a mechanism AEMO uses as an absolute last resort to protect system security and prevent long-term damage to system infrastructure." 

Citipower supplies 332,000 customer connections in the Melbourne CBD and inner suburbs, while Powercor supplies electricity across 64 per cent of Victoria, west of Melbourne and through central and western Victoria.

About 107,000 customers are without power as a severe storm front pushes through Victoria.

It may take days for power to be restored

Citipower and Powercor spokesperson Emma Tyner said a combination of extreme temperatures, strong winds and thousands of lightning strikes were damaging electrical infrastructure.

"It's very widespread, from the western suburbs of Melbourne, Bendigo, through the inner suburbs of Melbourne, Ballarat, Maryborough, Charlton, Shepparton," she said.

"The band of lightning and extraordinary wind that we've seen push through the state has caused extensive damage and we're still seeing this weather pattern pass through."

Ms Tyner said some customers may have to wait for days before power is restored.

"There are almost 400 different faults across our network. This will take a number of days we believe," she said.

"Those that still do have power, we are encouraging them to take steps because this weather is going to continue."