加权条件风险价值下的最优购电组合研究  

Optimal Purchasing Portfolio for Electric Power Using Weighed Conditional Value-at-Risk

作　　者：蒙万兴[1] 李将 李力[1] 

机构地区：[1]长沙理工大学电气与信息工程学院,湖南长沙410004 [2]阳泉市供电公司,山西阳泉045011

出　　处：《山西电力》2013年第1期9-12,共4页Shanxi Electric Power

摘　　要：阐述了随着电力市场的逐步完善和发展、供求双方的互动不断增强,不确定性因素也极大增加,影响市场收益率的因素呈现多种分布共存的局面。考虑了正态分布和对数正态分布共同影响下,对以往的最优购电组合进行改进,提出了加权条件风险价值(WCVaR)方法。指出在可中断负荷参与电力市场环境下,供电公司如何采取最优的购电策略,以获取风险最小,收益最大化的目标。最后对模型提出了改进思路,并分析了该方法的优点和实际意义。With the gradual development and perfection of electric power market, the interaction between both sides of supply and demand increases ceaselessly as well as the uncertain factors, and a variety of factors influencing market return coexist at the same time. In consideration of the influence of normal distribution and lognornlal distribution, weighed conditional value at risk （WCVaR） method is put forward based on improvement of previous optimal purchasing portfolio for electric power. This method shows how electric power corporation can use optimal electric power purchase strategy to achieve the target of risk minimization and return maximization on condition that interruptible load is involved in electric power market. In the end, this article discusses how to improve this model and analyzes the advantages and significance of this method.

关 键 词：电力市场 市场收益率 最优购电组合 加权条件风险价值 可中断负荷 

分 类 号：F123.9[经济管理—世界经济]