基于实物期权理论的发电投资决策和容量充裕性评估

电力工业的市场化改革一方面为发电投资决策带来了更多的不确定性因素以及由此而引起的风险,另一方面也给政府主管部门或监管机构带来新的挑战,即应如何设计有效的市场机制以保证系统的发电容量充裕性进而供电可靠性。假定在投资者制定发电投资决策时所面对的不确定性因素主要来自于负荷增长的前提下,基于实物期权理论,构造了适用于电力市场环境下发电投资决策的新的方法框架,建立了相应的数学模型,提出了求解方法。该方法框架可以处理多个投资者参与发电投资的情形。在此基础上,研究了单一能量市场模式、容量费用模式和装机容量市场模式对发电投资决策进而整个系统发电容量充裕性的影响。最后,用仿真算例说明了该方法的基本特征。

Real Option Based Approach for Generation Investment Decision-making and Generation Capacity Adequacy Analysis

Deregulation of the power industry brings not only more uncertainties and risks for investors in making generation investment decisions, but also a new challenge to the government or the regulator for designing an effective market mechanism to ensure adequate generation capacity and hence reliable power supply. Provided that the load growth uncertainty is assumed to be the major source of uncertainty, a new methodological framework for generation investment decision-making is presented based on the well-developed real option approach (ROA), with competition for generation investment from other investors taken into account. A mathematical model is developed and a solving approach is presented for this purpose. Finally, the proposed method is illustrated by a numerical example, and the effects of different market mechanisms on generation investment incentives and hence the generation capacity adequacy are also investigated in a quantitative way.