美国电力市场中的金融交易模式

介绍了在美国电力市场中,为了规避价格风险而设计的日前市场和实时市场双结算体系,以及双边交易和电力金融期货的交易结算模式,分析了其对电力市场的稳定和电力系统运行的作用,揭示了其规避风险和适应电力系统实际运行的原因,并指出,日前市场、双边交易和电力金融产品等非实时电力交易是为适应电力商品的特殊性而提出的金融交易模式。最后对我国的电力市场交易的发展提出了建议。     

多级电力市场之间协调的模型与方法

在电力工业市场化运行过程中,年度/月度合约交易市场、日前市场、时前/实时平衡市场及辅助服务市场是并存的,而电力各个市场之间的衔接与协调一直是电力市场理论研究中的一个重要问题.目前国内外真正实现多级电力市场的情况并不多见,而对于经济性、安全性进行多级市场协调的研究也不够深入.为此,提出了多级市场之间协调的模型与方法,能够做到在保障电网安全稳定经济运行的情况下保证市场公平交易.     

可再生能源消纳责任权重制下电力市场优化决策模型

可再生能源消纳责任权重制与电力现货市场建设并行推进,实际消纳可再生能源电力将成为电力用户完成考核要求的主要完成方式,并且可再生能源电力也将逐步进入电力现货市场参与交易。基于以上框架建立了可再生能源消纳责任权重制下包含可再生能源日前市场、常规能源日前市场、实时市场的双层多主体优化决策模型,通过库恩-塔克(KKT)条件、强对偶定理、二进制拓展法等方法将其转化为混合整数线性规划模型来求解市场均衡点。算例分析探究了考核权重指标、绿色电力证书价格、可再生能源功率渗透率对市场均衡点的影响。分析结果表明,在市场均衡点日前市场中,可再生能源电力出清电价等于常规能源出清电价加上绿色电力证书价格,且随着可再生能源功率渗透率提高,电力现货市场出清电价呈现下降趋势。     

Experience with PJM market operation, system design, and implementation

This paper outlines the fundamental features of the PJM day-ahead energy market and real-time energy market. The Day-ahead market is based on a voluntary least-cost security constrained unit commitment and dispatch with several fundamental design features that ensure the market is robust and competitive. This market offers market participants the option to lock in energy and transportation charges at binding day-ahead prices. The flexibility of the day-ahead market rules provide all participants with equal access to the day-ahead market through consistent price signals and by providing all participants with the ability to submit virtual demand bids and virtual supply offers. These mechanisms promote liquidity in the markets. Economic incentives drive the convergence of the day-ahead and real-time market prices. The real-time energy market is based on security-constrained economic dispatch and is cleared based on the actual system operating conditions. The LMP-based markets support reliable grid operations through efficient price signals.     

An optimal pricing scheme in electricity markets by parallelizing security constrained optimal power flow based market-clearing model

To improve economic efficiency of electricity markets, the market-clearing model must be designed to give transparent information for pricing system security and to quantify the correlation between the market operations and the power systems operations, which is an immensely provocative and challenging issue in electricity markets. This paper sets out to propose a novel approach to pricing the system security by parallelizing the security constrained optimal power flow (SCOPF) based market-clearing model, while providing market solutions as a function of complying with the required voltage security margin and N-1 contingency criteria. The proposed SCOPF based market-clearing framework also takes into consideration the bilateral transaction information and, at the same time, optimal pricing expressions through computing locational marginal prices (LMPs) and nodal congestion prices (NCPs) for ensuring voltage security are derived. The results from a 129-bus model of the Italian HV transmission system turn out to be the validity of the proposed market-clearing model for managing and pricing the system security.     

电力中长期交易分步安全校核方法

针对目前中长期电量交易的安全校核问题,该文提出月度弹性预校核和日前校核相结合的分步安全校核方法。在月度市场开市前,调度机构向各区域的市场主体公布典型日发电量空间,并依此对机组的中长期交易电量和计划电量进行弹性预校核,形成预校核结果和相关风险提示,发用主体可自主决策是否对超过该限值的电量进行交易。在日前阶段,基于计划电量安排、市场交易的月分日电量,以最小化虚拟发电成本为目标,考虑最新的电网拓扑及线路约束、负荷预测、清洁能源出力预测、机组运行约束等,建立日前校核模型对日电量进行安全校核。最后,以IEEE14节点系统为例,模拟中长期市场交易的分步安全校核流程,验证了所提方法和模型的有效性。     

New secure bilateral transaction determination and study of pattern under contingencies and UPFC in competitive hybrid electricity markets

In the competitive electricity environment, the flexibility of power transactions is expected to drastically increase among the trading partners and can compromise the system security and reliability. These transactions are to be evaluated ahead of their scheduling in a day-ahead and hour-ahead market to avoid congestion and ensure their feasibility with respect to the system operating conditions. The security of the transactions has become essential in the new environment for better planning and management of competitive electricity markets. This paper proposes a new method of secure bilateral transaction determination using AC distribution factors based on the full Jacobian sensitivity and considering the impact of slack bus for pool and bilateral coordinated markets. The secure bilateral transactions have also been determined considering critical line outage contingencies cases. The bilateral transaction matrix pattern has also been determined in the presence of unified power flow controller (UPFC). The optimal location of UPFC has been determined using mixed integer non-linear programming approach. The proposed technique has been applied on IEEE 24-bus reliability test system (RTS).     

Realistic electricity market simulator for energy and economic studies

Electricity market simulators have become a useful tool to train engineers in the power industry. With the maturing of electricity markets throughout the world, there is a need for sophisticated software tools that can replicate the actual behavior of power markets. In most of these markets, power producers/consumers submit production/demand bids and the Market Operator clears the market producing a single price per hour. What makes markets different from each other are the bidding rules and the clearing algorithms to balance the market. This paper presents a realistic simulator of the day-ahead electricity market of mainland Spain. All the rules that govern this market are modeled. This simulator can be used either to train employees by power companies or to teach electricity markets courses in universities. To illustrate the tool, several realistic case studies are presented and discussed.     

日前和实时市场中发电商多目标二层规划竞价策略

由日前和实时市场组成的2市场交易机制是目前普遍存在的电力市场交易机制,在2市场中发电商的电量分配和竞价决策以及风险评估等都是受到广泛关注的问题。指出了现有文献在借鉴经济学和金融学的理论模型来研究多交易市场中发电商竞价策略时存在的问题。首先在分析了发电商竞价结果的概率分布之后,提出了发电商竞价成功概率分布函数的概念。然后基于日前和实时市场中投标结构的特点,针对采用分段报价和按报价结算(pay as bid price,PAB)方式的电力市场,建立了日前和实时市场中发电商的多目标二层规划竞价策略模型,并设计了以蒙特卡罗方法和遗传算法为基础的求解算法。最后采用算例对所提出的模型和算法进行了仿真验证。     

面向多级市场出清的负荷聚合商联合交易策略

在以新能源为主体的新型电力系统发展模式下,电网将面临灵活性资源严重不足的问题,亟需引导用户侧可调控资源主动参与系统的平衡调节服务。提出一种考虑日前主能量市场、日前备用市场及实时平衡市场的多级市场衔接框架,基于负荷聚合商引导终端用户参与至多级耦合市场的市场化调度中。在日前主能量市场与备用市场,提出负荷聚合商可调节负荷状态感知模型及日前电能量与备用联合市场的竞价模型,系统运营商实现日前主辅能量市场的阶段性出清。在实时平衡市场,提出负荷聚合商基于用户侧富余可调节资源的实时平衡市场竞标模型,系统运营商基于实际系统运行需求实现平衡资源的出清与备用资源的调度。最后基于 IEEE 30 节点系统验证了所提出市场框架可有效激励用户侧主动响应电网调控需求、降低系统供需不平衡风险。     

复杂市场环境下区域电网安全校核机制架构设计

安全校核是保障区域电网安全运行和区域内电力市场正常运营的重要技术环节。当前区域电网范围内已呈现电力现货试点省与非试点省并存、省间交易电量与计划电量交织的复杂形态,倒逼电网运行组织者必须创新提出与之相适应的安全校核机制。首先总结分析国外典型单一市场形态下电力市场出清和跨市场/跨国电力交易的电网安全校核机制架构及其借鉴意义,揭示中国复杂市场环境下区域电网安全校核的现实基础、特殊约束与需求,在此基础上设计了与中国近期电力市场形态、现行电力调度管理体制、区域电网结构等相适应的跨省跨区电力中长期交易、区内各省日前市场预出清发电计划和非现货试点省日前发电计划的安全校核机制架构。对于跨省跨区电力中长期交易,提出了基于跨区交易电力曲线典型场景集的电力校核方法和提高安全校核频次的安全校核机制改进方案;针对构建区内日前发电计划安全校核机制,提出了适应复杂市场环境的3种可选择方案,在对比分析三者特点的基础上,给出了方案实施路径建议。     

电力市场日前交易计划的分布式协同算法

将电力市场中各交易中心的计算机系统看做一个分布式计算平台,提出了一种基于分布式协同计算的电力市场日前交易计划算法。介绍了电力市场日前交易计划计算的数学模型及求解该模型的分布式协同算法：先由基层交易中心完成区域内交易预计划;然后上级交易中心协调各基层交易中心通过迭代计算完成区域间交易计划,在交易计算的同时完成全系统的电网安全校核;最后由基层交易中心在区域间交易计划的基础上形成最终的区域内交易计划。该算法兼顾了交易优化计算与安全校核计算,仿真算例结果表明这种分布式协同算法是有效的。     

计及电价不确定性和损耗成本的储能竞价策略

储能是促进新能源消纳、提高电力系统稳定性和灵活性的有效措施。然而储能参与电力市场的策略极其复杂,现已成为实现储能商业化应用的关键问题之一。文中提出储能在日前和实时市场价格不确定环境下考虑循环损耗成本的最优竞价策略。为权衡储能多次循环增加的售电利润和损耗成本,在制定储能竞价策略时,将其循环损耗成本的影响计及在内,并充分考虑电池充、放电深度对循环损耗成本和利润的影响;在日前市场中建立电价-电量投标模型,对电价和电量同时进行投标以充分考虑电价不确定性;在实时市场中建立电量投标模型对日前市场投标进行弥补修正,使竞价策略更加合理与优化。算例验证了所提储能竞价策略的有效性,并说明所建模型可以确定最优电池充、放电深度。     

用户报量不报价模式下电力现货市场需求响应机制与方法

为了积极稳妥地推进中国电力现货市场建设,以用户报量不报价的方式开展需求侧响应是电力现货市场建设初期循序渐进的选择,由此产生了在日前市场模型中如何考虑需求弹性的问题。针对用户报量不报价方式下的市场运行特点,提出了相应的现货市场需求响应机制,研究了对用户日前申报负荷进行弹性化修正,并依据修正后的负荷开展安全校核,优化决策考虑需求弹性的日前发电计划模型和方法。首先分析用户日前负荷申报、对价格做出响应的行为机理,在此基础上研究基于模型和数据驱动的申报负荷弹性化修正方法,并建立了基于负荷需求弹性的日前发电计划优化与安全校核模型。通过在日前提前考虑用户在实时市场上的价格响应行为,实现了日前发电计划更优化、安全校核更精准。基于IEEE 30节点的算例分析验证了所提模式和方法的效益和有效性。     

Decentralized approach to intermarket congestion management

When transmission bottlenecks affect dispatches and prices of neighboring Regional Transmission Organization (RTO) markets, intermarket congestion management and coordination are needed to mitigate congestion and to compute economically efficient prices in the day-ahead markets. This paper discusses and proposes two decentralized processes with which each RTO administers its energy market and also acts as a transmission coordinator to achieve feasible and efficient use of congested transmission by all markets in the region (interconnection). With this arrangement, a new decomposition technique is introduced without breaking a network model at the RTO's geographical boundaries. The paper then presents two decentralized congestion management formulations to model markets interactions in the interconnection. The coordination between market operators and transmission operators is based on the use of congestion price signals or allocated megawatt capacities, as well as their sensitivity information. The proposed solution ensures not only feasible schedules but also efficient and consistent congestion path prices for the final schedules in the entire interconnection. Numerical examples are given to illustrate the application of the proposed models.     

Auction design in day-ahead electricity markets

Competition in day-ahead electricity markets has been established through auctions where generators and loads bid prices and quantities. Different approaches have been discussed regarding the market auction design. Multi-round auctions, despite its implementation complexity, allow market participants to adapt their successive bids to market prices considering their operational and economic constraints. However, most of the day-ahead electricity market implementations use noniterative single-round auctions. This paper presents a market simulator to compare both auction models. Different auction alternatives, such as the Spanish single-round auction that takes into account special conditions included in the generator bids, and multi-round auctions with different stopping rules, are analyzed. The results and acquired experience in the simulation of the Spanish market, started in January 1998, are presented. Hourly market prices, average daily price, price/demand correlation and several economic efficiency indicators, such as generator surplus, consumer surplus and social welfare, are compared to derive conclusions regarding the performance of the auction alternatives     

基于CVaR风险计量指标的发电商投标组合策略及模型

电力市场中各类市场具有不同的价格波动特性和收益率随机变化特性。为了保证年度收益最大且风险最低,发电商需在各个市场上合理分配参与竞价的电量。借鉴金融领域风险管理的理论,以条件风险价值(CVaR)为风险计量指标,综合考虑风险和期望收益率,建立了新的发电商均值-CVaR投标组合优化模型。应用该模型,对发电商在年度合约市场、月度合约市场、日前市场和实时市场4个市场总电量的分配比例和有效前沿进行了计算。计算结果表明,所提出的模型能较真实地反映发电商所面临的市场风险的本质特征,可使发电商在保证一定期望收益率的前提下承担最小的CVaR风险,从而为发电商的投标决策与风险评估提供了新的思路。     

Auction design in day-ahead electricity markets

Competition in day-ahead electricity markets has been established through auctions where generators and loads bid prices and quantities. Different approaches have been discussed regarding the market auction design. Multi-round auctions, despite its implementation complexity, allow market participants to adapt their successive bids to market prices considering their operational and economic constraints. However, most of the day-ahead electricity market implementations use noniterative single-round auctions. This paper presents a market simulator to compare both auction models. Different auction alternatives, such as the Spanish single-round auction that takes into account special conditions included in the generator bids, and multi-round auctions with different stopping rules, are analyzed. The results and acquired experience in the simulation of the Spanish market, started in January 1998, are presented. Hourly market prices, average daily price, price/demand correlation and several economic efficiency indicators, such as generator surplus, consumer surplus and social welfare, are compared to derive conclusions regarding the performance of the auction alternatives     

Preventive analysis and solution of overloads in the Spanish electricity market

The technical feasibility of a power generation dispatch in competitive electricity markets consists of not having any overloaded equipment, not only in case of normal operating condition, but also when any contingency established in the security criteria occurs. In addition, bus voltages should be within their limits. This paper describes an optimization method to analyze and solve the transmission overloads that arise in each hourly scenario of the Spanish power system, after the electricity market has been cleared. Overloads are solved in the Spanish market by increasing and decreasing generation of connected units, and by connecting off-line ones. The proposed method comprises three steps: (a) contingency analysis, (b) preventive active dispatch and (c) classification of generation re-dispatch. The performance of the method is illustrated using an actual example of the Spanish electricity market.     

有差价合约日前市场中计及风险约束的最优报价策略

日前市场是国内外目前实际运营的以联营体为基础的单一购买者模式的电力市场所采用的最主要的形式.在有些日前市场中采用了差价合约来规避单一购买者和发电公司可能面对的由于电价波动所带来的财政风险.针对具有差价合约的日前市场,在假设市场规约要求发电公司采用线性报价函数申报下一个交易日每个时段的报价而且市场按统一清算价对每个交易时段分别进行结算的前提下,构造了发电公司在日前市场考虑风险约束的最优报价策略的数学模型,计及了发电机组的运行约束和启动成本,并发展了以遗传算法为基础的有效的求解方法.最后,用一个算例说明了所提出的方法的基本特征.