考虑风险约束的发电公司报价策略研究

针对采用分段报价策略和按发电公司报价结算的电力市场，提出了构造计及风险约束的发电公司最优报价策略的模型框架。在假设所研究的发电公司对其竞争对手的报价策略概率分布已知的前提下，首先提出了计算采用某种报价策略时的期望利润和相应风险的方法，然后根据发电公司自身的风险偏好，定义了在最大化利润和最小化风险这两个目标间折衷的效用函数，发展了使报价策略所产生的效用最大化的最优报价策略模型和以遗传算法为基础的求解方法。最后用一个有5个发电公司参与的电力市场为例来说明所提出的方法的基本特征。

RISK-CONSTRAINED OPTIMAL BIDDING STRATEGIES FOR GENERATION COMPANIES IN ELECTRICITY MARKET ENVIRONMENT

A methodological framework is presented for developing risk-constrained optimal bidding strategies for generation companies participating in an electricity market in which step-wise bidding functions and pay-as-bid settlement protocols are utilized. Upon the assumption that the probability distribution functions of rivals' bidding are known, a method is first proposed to assess the expected profit and associated risk for a given bidding strategy employed by the subject generation company. Then, a widely used utility function in the investment theory is adopted to evaluate the goodness of a bidding strategy with risk preference, expected profit and associated risk well taken into account, and as a result, a mathematical model for building a risk-constrained optimal bidding strategy for generation companies is developed. Finally, the well-known genetic algorithm is served for solving the problem and a numerical example is given for demonstrating the essential features of the developed model and method.