基于条件风险价值的时序运行燃煤采购决策模型  

Time-series Operational Coal Procurement Decision Model Based on Conditional Value-at-Risk

作　　者：王辉[1,2] 孙学晶 刘达 郭通[3] 杨智伟 WANG Hui;SUN Xuejing;LIU Da;GUO Tong;YANG Zhiwei(School of Economics and Management,North China Electric Power University,Beijing 102206,China;Beijing Key Laboratory of New Energy and Low-Carbon Development(North China Electric Power University),Beijing 102206,China;State Grid Xiong’an New Area Electric Power Supply Company,Xiong’an New Area 071700,China;Big Data Center of State Grid Corporation of China,Beijing 100031,China)

机构地区：[1]华北电力大学经济与管理学院,北京102206 [2]新能源电力与低碳发展研究北京市重点实验室(华北电力大学),北京102206 [3]国网河北省电力有限公司雄安新区供电公司,河北雄安新区071700 [4]国家电网有限公司大数据中心,北京100052

出　　处：《华北电力大学学报（自然科学版）》2024年第6期104-113,I0007,共11页Journal of North China Electric Power University：Natural Science Edition

基　　金：国家重点研发计划项目(2020YFB1707802).

摘　　要：随着新能源的渗透率提升以及燃煤价格的波动性增强,燃煤发电企业面临市场困境,需要权衡燃料成本和风险,合理进行燃煤采购。在此背景下,提出基于条件风险价值(Conditional Value-at-Risk,CVaR)的时序运行燃煤采购决策模型。首先,将全年8760 h时序运行模拟嵌入发电企业燃煤采购决策中,考虑负荷和新能源出力变化,以区域运行成本最小为目标,模拟燃煤机组出力曲线;其次,对发电曲线进行时段累加得到厂级发电量,将发电量和现货市场煤价作为外源输入,考虑市场煤价的不确定性风险,构建基于条件风险价值的燃煤组合采购决策模型,对长协合同煤和现货市场煤的采购量进行决策;最后,通过算例分析验证模型的有效性。结果表明,所提模型可以根据精细化模拟的发电计划进行燃煤组合采购,并且可以在控制CVaR风险的情况下,使燃煤采购的期望成本最低,相较于风险中性决策模型,所提模型考虑了决策者的风险偏好,降低了决策结果的尾部风险,更加符合生产经营实际。As the penetration of new energy sources increases and coal prices become more volatile,coal-fired power producers are facing operational difficulties and need to rationalize coal procurement,weighing fuel costs and risks.Against this background,we proposed a coal procurement decision model based on Conditional Value-at-Risk for time series operation.Firstly,we embedded the simulation of annual 8760-hour time-series operation into the coal procurement optimization of power generation enterprises.Considering load and new energy output changes,we simulated the coal-fired unit output curve with the objective of minimizing regional operating costs.Secondly,we used the generation capacity by accumulating the generation curves and the spot market coal price as exogenous inputs,and constructed a coal combinatorial procurement decision model considering the uncertainty risk of spot market coal price based on Conditional Value-at-Risk.This model is to combine the procurement quantity of long contract coal and spot market coal.Finally,the effectiveness of the model is verified through the analysis of the arithmetic case.The results show that the time-series operation coal procurement decision model based on Conditional Value-at-Risk is reasonable and effective,and the company can make coal portfolio procurement according to the finely simulated generation plan,and the expected cost of coal procurement decision can be minimized with the control of risk.Compared to the risk-neutral decision model,the proposed model takes into account the risk appetite of the decision maker and reduces the tail risk of the decision outcome,which is more in line with production and operation reality.

关 键 词：燃煤采购 发电计划 煤价不确定性 时序运行模拟 条件风险价值 

分 类 号：TM73[电气工程—电力系统及自动化]