供电公司使用期权合同购电优化策略研究  

Study on Optimal Sourcing Strategy of Power Supplier with Option Contract

作　　者：盛方正[1] 季建华[1] 

机构地区：[1]上海交通大学安泰经济与管理学院,上海市徐汇区200052

出　　处：《电网技术》2007年第22期54-57,共4页Power System Technology

摘　　要：研究了当供电公司既可以从实时电力市场购电,又可以通过期权合同市场购电时供电公司的最优购电决策问题。假设实时电力市场购电价格、电力零售市场的需求以及零售价格都是随机变量,且它们之间存在一定的函数关系,通过建立2阶段数学模型,求出风险中性的供电公司应从电力期权合同市场购买的期权合同的数量、供电公司应执行的电力期权合同的数量以及从实时电力市场中购买电量的解析解。算例结果证明了所得出结论的正确性。The decision-making of optimal sourcing strategy for power supplier that can purchase electricity from both spot electricity market and option contract electricity market is researched. In this research, it is assumed that the purchase price of spot electricity market, the demand of electricity retail market and the retail price of electricity are random variables, and there is a certain functional relation among them. By means of establishing a two stages mathematical model, the amount of option contracts to be purchased from electricity option contract market by risk neutral power supplier and the amount of electricity option contracts to be carried out by power supplier as well as the analytical solution of electricity to be purchased from spot electricity market by power supplier are solved. The correctness of the achieved conclusion is validated by results of calculation examples.

关 键 词：电力市场 电力零售市场 最优化 期权合同 

分 类 号：TM73[电气工程—电力系统及自动化] F123.9[经济管理—世界经济]