基于相对鲁棒CVa R的高不确定性机组日前竞价申报优化  

Day-ahead Bidding Optimization for High-uncertainty Units Based on Relatively Robust Conditional Value at Risk

作　　者：杨佳澄 翟晓鹤 谭忠富[1,2] 蒲雷 谭彩霞 余顺坤 YANG Jiacheng;ZHAI Xiaohe;TAN Zhongfu;PU Lei;TAN Caixia;YU Shunkun(School of Economic and Management,North China Electric Power University,Changping District,Beijing 102206,China;School of Economic and Management,Yan’an University,Yan’an 716000,Shaanxi Province,China)

机构地区：[1]华北电力大学经济与管理学院,北京市昌平区102206 [2]延安大学经济与管理学院,陕西省延安市716000

出　　处：《电网技术》2021年第11期4366-4374,共9页Power System Technology

基　　金：教育部哲学社会科学研究重大课题攻关项目(18JZD032);国家自然科学基金项目(72174062)。

摘　　要：日前电力市场中,机组需提前一天申报竞价信息,高不确定性机组次日实际出力与日前申报出力存在偏差,从而产生弃能及偏差惩罚费用。考虑预测出力存在多种概率分布时的不可比问题和日前竞价的风险决策问题,基于相对鲁棒条件风险价值(relatively robust conditional value at risk,RRCVa R)构建了高不确定性机组日前竞价申报优化模型,并对比了风险中性决策模型和条件风险价值(conditional value at risk,CVa R)决策模型的决策情况。算例分析结果证明了所构建模型的有效性和合理性,并表明在多概率分布不可比时,RRCVa R模型的竞价决策优化结果具有相对较好的利润表现及风险规避能力,竞价决策的CVa R均不高于最大预期尾部损失,且当决策者风险态度趋向保守时,竞价决策的CVa R与风险价值趋于持平,即无超额损失。In the day-ahead power market, the units are required to declare their bidding information in advance for the following day. The actual output of a high-uncertainty unit on the following day typically differs from the output declared in its day-ahead bidding resulting in an energy abandonment or a deviation penalty. Considering the problems of the incomparability of the forecast output probability distributions and the risky day-ahead bidding decision-making process, this paper presents an optimization model for high-uncertainty units day-ahead bidding based on the relatively robust conditional value at risk(RRCVaR). The decision-making performance of the RRCVaR decision model is then compared with the risk-neutral decision model and the conditional value at risk(CVaR) decision model. Numerical examples presented verify the effectiveness and reasonableness of the proposed model. It is shown that when the multiple probability distributions are not comparable, the optimization results of the RRCVaR model have relatively better profit performance and risk aversion. The CVaR of the bidding decision is not higher than the maximum expected tail loss. When the decision maker’s risk attitude tends to be conservative, the CVaR and VaR of the bidding decision tend to be flat, that is, there is no excessive loss.

关 键 词：电力市场 日前竞价 不确定性优化 相对鲁棒CVaR 

分 类 号：TM73[电气工程—电力系统及自动化]