基于风险管理在开放的能量市场和备用市场间优化分配发电容量

在能量市场和备用市场同时开放的电力市场中,对发电商而言,最关键的问题是针对本公司的情况,根据市场信息,寻求一种优化两市场发电容量分配的售电策略,使得发电商在最小的风险下获得最大收益.文中引入了经济学中效用和风险管理的概念,分别用均值和方差来衡量发电商的收益和风险,对这一问题进行了建模和讨论,研究了发电商在能量市场和备用市场中的发电容量优化分配问题,给出了问题的解析解,并用实例进行了论证.研究结果不仅可供发电商在分配不同市场的发电量时参考,也为发电商进一步构造投标曲线打下了基础.

RISK MANAGEMENT BASED OPTIMAL ALLOCATION OF GENERATION CAPACITY BETWEEN OPEN ACCESS ENERGY MARKET AND RESERVE MARKET

In open access energy market and reserve market, one key issue for a generation company is, according to its practical status and market information, to seek an optimal allocation of generation capacity between energy market and reserve market to maximize the total revenue and minimize the associated risks. The optimization problem is researched and modeled by introducing the economic concept of utility and risk management. Expected value and standard value deviation are used to measure revenue and risk respectively. The analytical solution is obtained and the numerical simulation results are presented. The research result may be helpful for generation companies to optimize their markets allocation and further building bid curves in electricity market.