| 基于CVaR的供电商多市场购电组合研究 |
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| 引用本文： | 王瑞庆,王晛,李渝曾. 基于CVaR的供电商多市场购电组合研究[J]. 微计算机信息, 2010, 0(3) |
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| 作者姓名： | 王瑞庆 王晛 李渝曾 |
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| 作者单位： | 安阳师范学院;上海大学; |
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| 基金项目： | 国家自然科学基金;可中断电力定价理论和电力期权合同的系统特性研究(70871074); 安阳师范学院科研培育基金;基于CVaR的可中断负荷管理研究(AYNU-2009PYL-06) |
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| 摘 要： | 电力市场环境下,供电商在日前现货、远期合同、期权、可中断负荷等多个市场购电时面临着收益与风险的权衡。引入条件风险价值(CVaR)作为市场风险的度量因子,建立了以最小化损失为目标的供电商多市场购电决策模型,分析了期权和可中断负荷对购电组合的影响。算例结果表明期权和可中断负荷能有效地降低供电商的购电损失,期权价格和可中断负荷补偿价格对购电组合策略有显著的影响。
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| 关 键 词： | 可中断负荷 期权 条件风险价值 资产组合理论 遗传算法 |
On Purchasing Portfolio of Power Suppliers Based on CVaR |
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| WANG Rui-qing WANG Xian LI Yu-zeng. On Purchasing Portfolio of Power Suppliers Based on CVaR[J]. Control & Automation, 2010, 0(3) |
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| Authors: | WANG Rui-qing WANG Xian LI Yu-zeng |
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| Affiliation: | WANG Rui-qing WANG Xian LI Yu-zeng(Anyang Normal University,Anyang 455000,China) (Shanghai University,Shanghai 200072,China) |
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| Abstract: | Power suppliers are faced with the trade-off between benefit and risk when they purchase energy from several sub-markets under electricity market environment. With conditional value at risk (CVaR) as a measuring index for market risk,a purchasing model for power suppliers among several sub-markets is presented,in which the objective function is to minimize the portfolio loss. The impacts of options and interruptible load (IL) on portfolio are analyzed. The results of numerical examples show that options and... |
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| Keywords: | interruptible load options conditional value at risk assets portfolio theory genetic algorithm |
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