考虑合约市场和日前市场共同风险的发电商报价策略分析  

Analysis of generation companies' optimal bidding strategy considering risks of contract market and day-ahead market

作　　者：刘利[1] 张新华[2] 童小娇[1] 

机构地区：[1]长沙理工大学数学与计算科学学院,湖南长沙410004 [2]长沙理工大学管理学院,湖南长沙410004

出　　处：《电力科学与技术学报》2009年第1期61-67,91,共8页Journal of Electric Power Science And Technology

基　　金：国家自然科学基金(10826099)

摘　　要：通过对电价历史数据的处理,将电力日前市场与合约市场中的不确定性模拟为对数正态分布,进而得到发电商在日前市场和合约市场的收益函数,并建立考虑合约市场的电力报价模型.由于2个市场收益的相关性,选取Gumbel Copula函数度量电力市场的风险,运用Monte Carlo模拟方法计算CVaR,得出发电商的最优报价策略:偏好风险的发电商,会将很小一部分电量投入到合约市场,而选择一种高的报价策略;而规避风险的发电商会增加其在合约市场的电量,选择一种低报价策略.Through the historical price data＇s processing, the uncertainty factor in the day ahead market and the contract market to the lognormal distribution is simulated in this paper. The revenue functions of the power generation companies are obtained. And the bidding model considering contract is established. Due to the relevance of the two market revenue, Gumbel Copula function is chosen and applied to the risk measure of power market. The CVaR is calculated with the Monte Carlo Simulation method. The obtained optimal bidding strategy of power generation companies is： the power generation companies with better risk tendency will put very small part of electricity into the contract market, they prefer a high bidding strategy ; while power generation companies with risk avoiding will increase the quantities of the electricity in the contract market, and they prefer a low bidding strategy.

关 键 词：日前市场 合约市场 CVAR COPULA函数 对数正态分布 

分 类 号：TM73[电气工程—电力系统及自动化] F224.0[经济管理—国民经济]