基于CVaR的电价敏感用户组合购电风险模型  

Risk Model of Power Purchasing Portfolio for the Price-Sensitive Users Base on CVaR

作　　者：张清叶 孙一夫 ZHANG Qingye;SUN Yifu(School of Economics,Henan Institute of Technology,Xinxiang 453003,China;School of Business and Law,University of Queensland,Queensland 4072,Australia)

机构地区：[1]河南工学院经济学院,河南新乡453003 [2]昆士兰大学商经法学院,澳大利亚昆士兰4072

出　　处：《信阳师范学院学报（自然科学版）》2023年第2期233-238,共6页Journal of Xinyang Normal University(Natural Science Edition)

基　　金：河南省软科学研究计划项目(192400410097);河南工学院博士科研启动项目(KQ1830)。

摘　　要：智能电网背景下的实时定价机制可以提高整个社会的福利水平,而对于电价敏感用户则具有两面性,机遇与挑战并存。以条件风险价值(CVaR)为风险测度,建立了电价敏感用户为规避购电风险在电力金融市场与现货市场进行组合购电的优化模型,并针对模型中的非光滑函数提出一个新的一致光滑逼近函数,将模型转化为光滑凸规划问题。仿真分析验证了模型的合理性与算法的有效性。Real-time pricing mechanism under smart grid can improve the welfare of the whole society.As for the price-sensitive users,however,it has two sides,both opportunities and challenges.Using the conditional value-at-risk(CVaR)as the risk measure,an optimal purchasing portfolio model in the power financial market and spot market is established,so that the price-sensitive users can control electricity purchasing risk.Moreover,a consistent smooth approximation function is proposed and the model is converted into a smooth convex programming.The reasonability of the model and the validity of the algorithm are verified by the simulation analysis.

关 键 词：智能电网 实时电价 组合购电 条件风险价值(CVaR) 光滑化方法 

分 类 号：F407[经济管理—产业经济] O2214[理学—运筹学与控制论]