计及风险的电网企业代理购电中长期分时段滚动交易决策方法  

Rolling Trading Decision Methodology of Grid Companies in Time Division Medium-&Long-term Electricity Market Considering Risk Management

作　　者：李彦斌[1] 王佳妮 肖婷婷 汪伟业 李赟[3] 许小峰 刘敦楠[1,2] LI Yanbin;WANG Jiani;XIAO Tingting;WANG Weiye;LI Yun;XU Xiaofeng;LIU Dunnan(School of Economics and Management,North China Electric Power University,Changping District,Beijing 102206,China;Beijing Key Laboratory of New Energy and Low-carbon Development,Changping District,Beijing 102206,China;National Institute of Energy Development Strategy,North China Electric Power University,Changping District,Beijing 102206,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]新能源电力与低碳发展北京市重点实验室,北京市昌平区102206 [3]华北电力大学国家能源发展战略研究院,北京市昌平区102206

出　　处：《电网技术》2023年第10期4237-4245,共9页Power System Technology

基　　金：北京市自然科学基金项目(9224037)。

摘　　要：我国推动全体工商业用户进入电力市场,电网企业成为代理暂未进入电力市场用户参与交易的核心主体。考虑代理用户需求电量与市场价格的不确定性,在多时间尺度、多品种的中长期交易中合理分配购电比例,有效降低综合购电成本是电网企业提高其营销服务能力的核心策略。基于与现货市场有效衔接的中长期分时段交易机制,建立了包括年度、月度、月内的电网企业中长期交易滚动优化决策模型;考虑多时间尺度交易数据频次的差异性,通过混频波动预测模型确定交易量、价预测偏差的波动率,并借助蒙特卡洛模拟进行多场景抽样求解,以寻求电网企业参与中长期交易过程中风险与成本的合理决策。最后通过算例分析验证了所建模型与方法的有效性,为电网企业降低交易风险、制定多市场组合交易策略提供了有效的参考。China is promoting all the commercial and industrial users entering the electricity market,and the grid companies have become the core subjects to participate in the electricity trading as the agents for the users who have not entered the market.The core strategies for the grid companies to improve their marketing service capabilities are to consider the uncertainty of the users’demands and the market prices,reasonably allocate the trading ratios in the medium-&long-term transactions with multi-time scales and multi-species characteristics and reduce the comprehensive costs.Aiming at this,a rolling optimization decision model for grid companies based on the time division medium-&long-term trading mechanisms is established,including the yearly,monthly or daily tradings.Considering the variability of the multi-time scale trading data frequency,the volatility of the trading volume and the price prediction deviation is determined by a mixed-frequency volatility prediction model.Multiple scenarios are sampled and solved with the help of the Monte Carlo simulation,seeking a reasonable decision on the risk and cost of grid companies'participation in the medium-&long-term trading process.Finally,the effectiveness of the proposed method is verified through the analysis of the arithmetic examples,providing an effective reference for grid companies to reduce the trading risks and develop the multi-market portfolio trading strategies.

关 键 词：中长期分时段交易 滚动交易决策 电网企业代理购电 风险控制 混频波动模型 

分 类 号：TM73[电气工程—电力系统及自动化]