基于CVaR报童模型的风力发电商最优投标策略  

The optimal bid strategy of wind power producer based on CVaR newsboy model

作　　者：曾鸣[1] 李晨[1] 王致杰[1] 魏阳[1] 董军[1] 

机构地区：[1]华北电力大学能源与电力经济研究咨询中心,北京102206

出　　处：《电力系统保护与控制》2012年第24期14-20,共7页Power System Protection and Control

基　　金：国家自然科学基金资助项目(70771039);国家电网公司科技项目(KJ-2010-26)~~

摘　　要：在日前市场和实时市场两市场交易结构下,风电出力的波动性增加了风力发电商的市场交易风险。如何根据出力特性,合理制定日前市场投标策略,以在一定风险程度下实现收益最大化,是风力发电商面临的重要问题。分析了实时市场中风力发电商与火力发电商的交易行为,建立了实时市场均衡模型,明确了实时市场均衡条件;以风力发电商收益的CVaR值最大化为目标,在考虑实时市场均衡条件的前提下,基于报童理论建立了风力发电商日前市场投标决策模型,求解此模型是典型的均衡约束的均衡问题(EPEC)。以蒙特卡罗方法和非线性互补方法为基础,设计了相应的求解算法。通过仿真算例对所提出的模型和算法的有效性进行了验证。The volatility of wind power output increases the risk of market transactions of wind power producers in the day-ahead and real-time market. How to develop a bidding strategy in the day-ahead market with the output characteristics reasonably and maximize the return with a certain degree of risk is an important issue that wind power producers are facing. First, the transacting behaviors of wind power producers and thermal power producers in the real-time market are analyzed, and the equilibrium condition of the real-time market is determined with an established equilibrium model for real-time market. Secondly, with the target of maximizing the CVaR value of the income of wind power producers and considering equilibrium condition of the real-time market, a wind power producers bid decision-making model in day-ahead market is established based on the newsboy theory. The solution of this model is typical equilibrium problem with equilibrium constrains （EPEC）. The algorithm is designed with Monte-Carlo method and nonlinear complementarity method. Then the proposed model and algorithm are validated with a simulation example.

关 键 词：风力发电商 日前和实时市场 投标策略 报童问题 条件风险值 均衡约束均衡问题 蒙特卡罗方法 

分 类 号：TM614[电气工程—电力系统及自动化]