基于分位数的CVaR方法在水电多风险分析中的应用  

Application of CVaR Based on the Quantile to Multi-risk Analysis of Hydropower

作　　者：刘嘉佳[1] 刘俊勇[2] 田立峰[1] 张力[2] 都亮[2] 

机构地区：[1]四川省电力公司通信自动化中心,四川省成都市610043 [2]四川大学电气信息学院,四川省成都市610065

出　　处：《电力系统自动化》2007年第21期20-25,共6页Automation of Electric Power Systems

基　　金：国家重点基础研究发展计划(973计划)资助项目(2004CB217905)~~

摘　　要：提出了一种基于分位数的条件风险价值(CVaR)方法,以各期CVaR的绝对偏差加权和最小为目标函数建立数学模型,针对水电在上网竞价过程中面临的电价、来水、需求等各类营销风险,在蒙特卡罗模拟条件下,给出相应的发电收益率表达式,对模型进行扩展。该模型可同时应用于计及风险的发电量时间分解和空间分配计算,以完全市场模式下水电厂年发电量在各月多个市场中的分解为例,说明该风险度量指标的可行性和实用性。This paper proposes a novel conditional value at risk （CVaR） method based on the quantile, and minimizes the weighted sum of the absolute deviation of each CVaR to build a mathematical model. Using the Monte Carlo method, the model proposed is extended by deducing the generation yield expression corresponding to various marketing risks, such as the price risk, the inflow uncertainty and the demand uncertainty, confronted in the course of the on-grid bidding. The model can be applied to both the time and space distributions of power generation with risk constraints. An annual volume regulation of hydropower in a completely competitive market is simulated to show that the risk measurement index proposed is feasible and applicable.

关 键 词：电力市场 多期投标组合 多风险分析 分位数 条件风险价值 

分 类 号：TM731[电气工程—电力系统及自动化]