多种期权合同条件下的供电公司最优购电策略

研究在电力市场背景下,当实时电力市场价格、最终顾客需求是随机变量时,作为期权合同购买方的供电公司面对多种期权合同和实时购电市场,采用最优期权合同组合的购电策略,根据每种期权合同能为供电公司带来收益的大小,推导出最优期权合同组合应满足的条件.介绍了求解每种期权合同最优购买数量的方法,并证明当可供选择的期权合同种类增加时,供电公司利润会增加.最后通过数例计算及计算机仿真说明了结论的应用.

Optimal Purchasing Strategy of the Electricity Supply Company Under Multi-options

Under the electricity market environment, this paper analyses the optimal purchasing strategy of the electricity supply company, taking random variables like spot price and ultimate customer demand into consideration. With a variety of option contracts and real-time electricity retail market, an electricity supply company is also an option buyer. This paper gives the optimal option contract combination based on the different profits derived from each option contract, introduces the solutions to calculate the optimal purchasing quantity for each option contract, and proves that the electricity supply company will increase its profit when the option contract types increase. In the end, a numerical example demonstrate the application of the conclusion.