基于期望效用-熵的风电交易风险控制方法

在逐步开放的电力市场环境下，发电商可通过在合约市场以及现货市场等不同类型的市场中合理分配交易电量来规避交易风险。在此背景下，针对溢价机制下风电商在电力市场中的电量分配问题，综合考虑了现货电价的不确定性、风电出力的波动性以及风电商对风险的喜好程度等因素，提出了基于期望效用&-熵的风电商电量分配决策模型。应用该模型，对风电商在年度合约市场、月度合约市场以及现货市场3个市场的总发电量分配进行了计算。计算结果表明：该模型能够反映风电商对市场风险的偏好程度改变时的决策特征，可使风电商在获得其期望收益水平的同时降低交易风险。

Risk Management for Wind Power Trading Based on Expected Utility-Entropy

In a gradually deregulated electricity market, a power producer can minimum risk by reasonably allocating trading electricity in different markets such as the contract market and spot market. In this context, the paper addresses the electricity allocation issue of wind power producers in the power market under the premium mechanism. Considering the uncertainties of the spot electricity prices, the volatility of the wind power output and the risk preference of the wind power producers, an expected utility-entropy-based electricity allocation decision-making model is proposed, based on which, the electricity allocation of the wind power producers is calculated respectively in such three markets as annual contract market, monthly contract market and spot market. The results show that the model can not only reflect the decision-making characteristics of the wind power producers when their preference of the market risk changes, but also reduce the trading risk of wind power producers while obtaining expected return level.