考虑输电约束的期权市场与现货市场联合均衡分析  

Joint Equilibrium Analysis of Option and Spot Markets Considering Transmission Constraints

作　　者：王瑞庆[1] 李渝曾[1] 张少华[1] 

机构地区：[1]上海大学机电工程与自动化学院,上海市200072

出　　处：《电力系统自动化》2008年第2期35-39,共5页Automation of Electric Power Systems

基　　金：国家自然科学基金资助项目(50377023);上海市教委科技发展基金资助项目(05AZ28)~~

摘　　要：针对实际运营电力市场的需求,研究发电商在期权市场与现货市场的联合竞争问题,建立了一个考虑输电约束的两阶段古诺博弈模型。该模型是一个具有均衡约束的2层数学模型,可使用非线性互补方法和改进的Levenberg-Marquardt算法求解。结果表明,输电阻塞抑制了发电商参与期权交易的积极性,削弱了期权对电力市场的作用,加强了处于阻塞有利位置的发电商的市场力,发电商可通过策略性竞标剥夺用户和网络所有者的部分或全部收益。Faced the practical requirement of electricity markets currently implemented around the world, joint bidding in option and spot markets is addressed. A two-period Cournot equilibrium model is proposed taking transmission constraints into account. This model can be reformulated as a mathematical program with equilibrium constraints and be solved by an advanced Levenberg-Marquardt algorithm based on the nonlinear complementary approach. The results show that transmission congestion impairs producers＇ enthusiasm for option trading, weakens the impacts of options on electricity markets and exacerbates the market power abuse of producers further situated the constraints, When transmission network congested, producers can partly or fully expropriate revenues of consumers and network owners by strategic bidding.

关 键 词：期权合约 电力市场 古诺模型 输电约束 纳什均衡 

分 类 号：TM731[电气工程—电力系统及自动化]