摘要
输配分开电力市场环境下,市场电价具有随机变化的特性,为实现收益最大和风险最小,供电公司需要在多能量市场中合理分配购电电量,例如实时市场、收费协议市场以及期货合约市场等。条件风险价值(conditional value-at-risk,CVaR)能够有效衡量供电公司决策过程中的风险和收益,但只考虑单一分布特性的市场电价。基于市场电价存在多种分布特性,例如对数正态分布,提出了加权条件风险价值(weighted CVaR,WCVaR)方法,建立了供电公司WCVaR组合市场的购电策略优化模型,使得供电公司可以在电价呈现多种分布特性的情况下优化多能量市场购电电量,从而实现风险最小/收益最大,最后通过算例仿真验证了该模型的有效性。所提方法为供电公司在多能量市场中的购电决策和风险度量提供了新的思路。
In transmission and distribution separated electricity markets, with the highly fluctuant price, distribution companies need to purchase electric power reasonably in several energy markets such as spot markets, long-term tolling agreements and forward contracts etc. to realize profit maximum and risk minimum. Conditional value-at-risk （CVaR） might measure risk efficiently, with only one kind of price distribution considered. In case of existence of more price distributions, e.g. logarithmic normal distribution, a method called weighted CVaR （WCVaR） to measure the purchasing risk of the distribution company is proposed in this paper. A mean-WCVaR model is built to measure the profit and risk in the purchasing process as a mathematical programming problem to derive the efficient frontier that indicates the optimal tradeoffs available to distribution company between expected revenue and purchasing risk in several energy markets. Lastly, a simulation case is carried out to prove the efficiency of the proposed model, which paves a new way for distribution company to determine the optimal purchasing strategies considering the risk.
出处
《电网技术》
EI
CSCD
北大核心
2010年第9期133-138,共6页
Power System Technology
关键词
供电公司
购电组合
加权条件风险价值
电力市场
风险量度
distribution company
purchasing portfolio
weighted conditional value-at-risk（WCVaR）
electricitymarket
risk measurement
