考虑电价碳价随机性及其相关性的发电商投标决策  

Bidding Strategies for Generation Company Considering Randomness and Correlation Relationship of Electricity and Carbon Prices

作　　者：周任军[1] 刘照[1] 陈彦秀[1] 张浩[1] 李莹莹[1] 范龙[1] 尹权 

机构地区：[1]智能电网运行与控制湖南省重点实验室(长沙理工大学),长沙410114 [2]国网湘潭供电公司,湖南湘潭411100

出　　处：《南方电网技术》2016年第2期62-69,共8页Southern Power System Technology

基　　金：国家自然科学基金资助项目(51277016);湖南省高校创新平台开放基金项目(12K074)~~

摘　　要：电价、碳价在外界因素的影响下具有某种相依关系,因此需要在发电商投标模型中考虑电价、碳价的随机性及其相关性对其决策的影响。本文将低于发电商预期收益部分的期望值定义为风险,采用多随机变量的条件风险方法对其进行度量,建立了考虑电价碳价随机性及其相关性影响的发电商投标决策模型,利用线性变换方法对相关性随机变量进行抽样并求解条件风险值。对电价碳价相关性、碳价成本、碳价随机性和不同风险度量方法对发电商投资决策风险的影响进行了仿真对比,结果表明考虑电价和碳价随机性及其相关性影响的投标模型更符合发电商提高收益降低风险的要求,采用条件风险方法更能准确刻画投标风险。Carbon price and electricity price are bound together under the influence of external factors. Thus,the price randomness of carbon and electricity along with their correlation should be taken into consideration to form the bidding model for generation compa-nies. The difference between actual profit and the expectation is defined as the risk and measured by multi-stochastic conditional risk method in this paper. Then,a CVaR-based bidding model which considers the price randomness of electricity and carbon along with their correlation is proposed. The Linear method is used to sample of the random variables concerning the correlation and to solve the conditional value at risk. Cases considering the correlation between electricity price and carbon price,carbon price cost,carbon price randomness and other risk measurement methods are tested respectively to evaluate their influences on the investment decision risk of generation companies. The results show that considering the price randomness of both electricity and carbon as well as their correlation is more in accordance with the generation companies’requirement of increasing revenue and reducing risk,and conditional risk method is able to describe the risk more accurately.

关 键 词：碳价随机性 电价随机性 多随机变量条件风险 投标组合 相关性 线性变换方法 

分 类 号：TM732[电气工程—电力系统及自动化]