区域电力市场下梯级水电站上网组合竞价理论与应用
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摘要
我国西南水资源丰富,具备梯级水电滚动开发的有利条件。随着水电装机容量逐年增多,水电能源的优化配置日益受到重视。同时,区域电力市场的逐步发展与不断完善以及“西电东送,南北互济”全国互联电网的形成,使得梯级水电站参与区域电力市场上网竞价的问题日益突出。国内外众多专家学者针对梯级水电站上网竞价策略开展了深入的研究,积极探寻有效的水电可参与的交易方式与报价策略,取得了许多成果。然而,梯级水电站与区域购电方博弈目标的相互冲突和约束条件的耦合作用使得问题的描述和模型的求解极为困难,至今几乎没有令人满意的上网竞价理论可以具体应用,亟需进一步发展新的理论并探索其技术实现方法。为此,通过梯级水电站在电力市场竞争中组合竞价机制的研究,解释跨区域上网组合竞价过程的复杂现象,揭示其效益响应的相互作用,探求区域电力市场的无套利均衡状态以及该环境下梯级水电站与单一购电方经济运营的博弈双赢策略,并研究其数学基础,以建立区域合约市场与现货市场间的套利组合竞价模型,发展梯级水电站跨区域电力市场组合竞价决策的新理论,从而解决面临不同区域电力市场运营规则下水电上网竞价存在的一些主要科学问题。研究成果应用于三峡梯级水电站日前上网竞价工程实践,为流域梯级水电站的博弈策略和运营管理提供了科学的决策依据。主要研究工作和创新性成果如下:
市场机制特别是其核心电价机制在电能资源配置中起着基础性的作用,通过对我国区域电力市场发展趋势及研究成果的分析,研究在区域电力市场环境下梯级水电站和其他参与者电能生产和消费的决策,使得供需实时过程趋于平衡;针对区域电力市场中存在的电价差异,首次采用无套利分析理论解决梯级水电站面临区域内各省(市)电价的差异问题,建立无套利均衡分析模型,求解均衡电价,判断区域内各省(市)电价的无套利均衡状态,对防范和控制梯级水电站在竞价中总体市场风险具有指导作用。
依据现货均衡电价和合约电价的关联性,对梯级水电站上网竞价电量分配问题的理论和应用进行了深入的研究。梯级水电站决策初期,针对两市场中的价格差异而引起的现货市场与远期合约市场之间的套利行为问题,提出历史数据预测交易时段内两个市场间的各种电价差异水平的概率方法,剖析梯级水电站在决策初期现货市场与远期合约市场组合交易工程套利机会产生的成因与演化规律,并以夏普比率(Sharp ratio)最大为目标,采用套利定价理论,建立梯级水电站面向两个市场的交易组合模型并研究其求解方法,实现梯级水电站在两个市场中电量的最优交易组合策略,在降低风险的同时,获取更多的期望收益。
由于梯级水电站在区域上网竞价中只能选择某一种报价方式,在面临潜在的交易失败风险时,建立梯级水电站与单一购买方竞价中的合作双赢决策对于规避竞价中的风险显得尤为重要;结合目前梯级水电站在现货市场中的水电机组报价、集中单元报价和水电站单独报价等方案,对每一种方案的特性进行详细分析;在参与人策略理性的前提下,建立双方合作博弈的动态均衡模型,设计双方均具有吸引力的讨价还价博弈程序,深入研究梯级水电站与单一购买方竞价中的双赢策略,规避竞价中的风险。
针对梯级水电站如何适应跨区域市场交易体制中的不同报价方式和市场运行方式之间相互矛盾的问题,通过对不同区域市场运营规则的进一步详细研究,探讨跨区域电力市场竞价的研究思路,依据各区域电价在不同时段的具体变化,建立跨区组合竞价模型,以发挥水电能源的长处,提高发电效益。
提出基于区域分时电价的三峡梯级电站日前优化数学模型及其算法,实现了三峡梯级水电站在电力系统负荷图上峰、平、谷时段的优化运行,通过与单一电价模式下三峡梯级电站在日前电力市场出力过程的比较表明,分时电价模型能够使得梯级电站充分利用水资源,具有较好的实际应用价值。
Water resources are rich in the western regions of China,with the development of the rolling cascade hydropower stations, hydropower installed capacity has been increased every year and the optimal allocation of hydroelectric energy becomes growing importance. The gradual development of regional electricity markets (REM) and the favorable policies“West power to the east, north and south connections”have forced cascade hydropower stations to participate in REM; the on grid bidding problems become increasingly emergence. Many experts and scholars have studied bidding strategies of cascade hydropower stations in-depth and have involved in effective transaction ways and biding method of cascade hydropower stations and made many achievements. However, the interactions of conflicts and constraints in the game goals of cascade hydropower stations with purchase side make the description of the model complicated and extremely difficult to solve, no satisfactory theory can be applied to bidding strategies. The urgent task needs to further explore the development of new theories and methods of bidding strategies technology. Research on cascade hydropower stations in the electricity market portfolio competition mechanism to explain the complex phenomenon of inter-regional on grid portfolio bidding process and reveal its response to the effectiveness of interaction explore the regional power market equilibrium and no arbitrage environment for the purchase of electricity under the cascade hydropower stations with a single buyer’s economic operation of the win-win game strategy, the establishment of regional contracts and the spot market within the market arbitrage portfolio bidding model, and study their mathematic foundations, which developing the new theory of portfolio bidding decisions of cascade hydropower stations in the inter-regional electricity market, thereby solving the main scientific problems of on grid biddings with different regional competitive electricity market rules. Three gorges hydropower station is successfully applied on the day-ahead bidding practice of REM, game strategy for the basin cascade hydropower station management and operation of a scientific basis for decision-making. The main research work and innovation results are as follows:
Market mechanisms, especially the kernel price mechanism in the allocation of resources plays a fundamental role. Through analysis the development trend of China's REM and research results. Cascade hydropower stations and other participants are making bidding strategies based on price adjustments of production and consumption. Real-time power exchanges offer the process of supply and demand balance; Based on the phenomenon of different electricity prices on each province in the REM, this paper propose a method of no-arbitrage theory to analysis the equilibrium prices of REM in the first time and establish a no-arbitrage mathematic model of the REM and obtain the no-arbitrage equilibrium price, cascade hydropower stations in bidding to prevent and control market risks in a overall guiding role.
According to the correlations of spot price and contract price, problems of power allocation between spot markert and contract market have been strudied in depth of theories and applications. In the initial decisions, for the problem of arbitrage behaviors.of the price difference between the two markets, this paper proposes a method by using probability to measure different levels between contract price and spot price, analysis the arbitrage behavior rules and evolution process in the two electricity markets and establishs an portfolio strategies of power transactions in the two electricity market based on arbitrage pricing theory (APT), which goal is maximization the Sharp ratio to obtain optimal combination of trading strategies, risk reduction, access to more of the expected profit.
As the cascade hydropower stations can choose one bidding strategies method in the spot market, in the face of the potential risk of failure, this win-win bidding cooperation decision which being established between cascade hydropower stations and a single buyer is particularly important to avoid the risk of bidding process; The characteristics of each kind of bidding approaches, which are generating units bidings, cascade station bidings and separated stations biddings in the spot market, are detailed analysis. On the premise of participants with rational strategies that the establishment of dynamic equilibrium model with cooperation games between the two sides and design both attractive bargaining procedures for cascade station with the purchase to study a win-win strategy for the competitive side to avoid risks.
In view of the cascade hydropower stations on how to adapt the system of cross-regional market offers different ways and contradictions between market operations and bidding rules. Different rules for the operation of the regional market through further detailed study and discuss the general method of inter-regional electricity market competitive. According to the regional electricity at different times of the specific changes, the establishment of competitive cross-portfolio model plays an important role for strengthing the uses of hydroelectric energy, and increasing the efficiency of power generation.
A time-of-use (TOU) electricity price based day-ahead optimized mathematical model and algorithm for three gorges cascade stations is proposed. Achieving the optimal schedules of three gorges cascade hydropower stations at different load hours including peak and valley load hours Simulation results show that the schedules determined by the proposed model are reasonable and feasible and evident economic effect can be obtained. Comparing the power output processes of three gorges cascade hydropower stations in day-ahead electricity market under fixed electricity price mode with those under TOU mode, the gained conclusion is that the TOU model, by which the outputs of cascade hydropower stations become more reliable and the water resources can be comprehensively utilized, has good practical value
市场机制特别是其核心电价机制在电能资源配置中起着基础性的作用,通过对我国区域电力市场发展趋势及研究成果的分析,研究在区域电力市场环境下梯级水电站和其他参与者电能生产和消费的决策,使得供需实时过程趋于平衡;针对区域电力市场中存在的电价差异,首次采用无套利分析理论解决梯级水电站面临区域内各省(市)电价的差异问题,建立无套利均衡分析模型,求解均衡电价,判断区域内各省(市)电价的无套利均衡状态,对防范和控制梯级水电站在竞价中总体市场风险具有指导作用。
依据现货均衡电价和合约电价的关联性,对梯级水电站上网竞价电量分配问题的理论和应用进行了深入的研究。梯级水电站决策初期,针对两市场中的价格差异而引起的现货市场与远期合约市场之间的套利行为问题,提出历史数据预测交易时段内两个市场间的各种电价差异水平的概率方法,剖析梯级水电站在决策初期现货市场与远期合约市场组合交易工程套利机会产生的成因与演化规律,并以夏普比率(Sharp ratio)最大为目标,采用套利定价理论,建立梯级水电站面向两个市场的交易组合模型并研究其求解方法,实现梯级水电站在两个市场中电量的最优交易组合策略,在降低风险的同时,获取更多的期望收益。
由于梯级水电站在区域上网竞价中只能选择某一种报价方式,在面临潜在的交易失败风险时,建立梯级水电站与单一购买方竞价中的合作双赢决策对于规避竞价中的风险显得尤为重要;结合目前梯级水电站在现货市场中的水电机组报价、集中单元报价和水电站单独报价等方案,对每一种方案的特性进行详细分析;在参与人策略理性的前提下,建立双方合作博弈的动态均衡模型,设计双方均具有吸引力的讨价还价博弈程序,深入研究梯级水电站与单一购买方竞价中的双赢策略,规避竞价中的风险。
针对梯级水电站如何适应跨区域市场交易体制中的不同报价方式和市场运行方式之间相互矛盾的问题,通过对不同区域市场运营规则的进一步详细研究,探讨跨区域电力市场竞价的研究思路,依据各区域电价在不同时段的具体变化,建立跨区组合竞价模型,以发挥水电能源的长处,提高发电效益。
提出基于区域分时电价的三峡梯级电站日前优化数学模型及其算法,实现了三峡梯级水电站在电力系统负荷图上峰、平、谷时段的优化运行,通过与单一电价模式下三峡梯级电站在日前电力市场出力过程的比较表明,分时电价模型能够使得梯级电站充分利用水资源,具有较好的实际应用价值。
Water resources are rich in the western regions of China,with the development of the rolling cascade hydropower stations, hydropower installed capacity has been increased every year and the optimal allocation of hydroelectric energy becomes growing importance. The gradual development of regional electricity markets (REM) and the favorable policies“West power to the east, north and south connections”have forced cascade hydropower stations to participate in REM; the on grid bidding problems become increasingly emergence. Many experts and scholars have studied bidding strategies of cascade hydropower stations in-depth and have involved in effective transaction ways and biding method of cascade hydropower stations and made many achievements. However, the interactions of conflicts and constraints in the game goals of cascade hydropower stations with purchase side make the description of the model complicated and extremely difficult to solve, no satisfactory theory can be applied to bidding strategies. The urgent task needs to further explore the development of new theories and methods of bidding strategies technology. Research on cascade hydropower stations in the electricity market portfolio competition mechanism to explain the complex phenomenon of inter-regional on grid portfolio bidding process and reveal its response to the effectiveness of interaction explore the regional power market equilibrium and no arbitrage environment for the purchase of electricity under the cascade hydropower stations with a single buyer’s economic operation of the win-win game strategy, the establishment of regional contracts and the spot market within the market arbitrage portfolio bidding model, and study their mathematic foundations, which developing the new theory of portfolio bidding decisions of cascade hydropower stations in the inter-regional electricity market, thereby solving the main scientific problems of on grid biddings with different regional competitive electricity market rules. Three gorges hydropower station is successfully applied on the day-ahead bidding practice of REM, game strategy for the basin cascade hydropower station management and operation of a scientific basis for decision-making. The main research work and innovation results are as follows:
Market mechanisms, especially the kernel price mechanism in the allocation of resources plays a fundamental role. Through analysis the development trend of China's REM and research results. Cascade hydropower stations and other participants are making bidding strategies based on price adjustments of production and consumption. Real-time power exchanges offer the process of supply and demand balance; Based on the phenomenon of different electricity prices on each province in the REM, this paper propose a method of no-arbitrage theory to analysis the equilibrium prices of REM in the first time and establish a no-arbitrage mathematic model of the REM and obtain the no-arbitrage equilibrium price, cascade hydropower stations in bidding to prevent and control market risks in a overall guiding role.
According to the correlations of spot price and contract price, problems of power allocation between spot markert and contract market have been strudied in depth of theories and applications. In the initial decisions, for the problem of arbitrage behaviors.of the price difference between the two markets, this paper proposes a method by using probability to measure different levels between contract price and spot price, analysis the arbitrage behavior rules and evolution process in the two electricity markets and establishs an portfolio strategies of power transactions in the two electricity market based on arbitrage pricing theory (APT), which goal is maximization the Sharp ratio to obtain optimal combination of trading strategies, risk reduction, access to more of the expected profit.
As the cascade hydropower stations can choose one bidding strategies method in the spot market, in the face of the potential risk of failure, this win-win bidding cooperation decision which being established between cascade hydropower stations and a single buyer is particularly important to avoid the risk of bidding process; The characteristics of each kind of bidding approaches, which are generating units bidings, cascade station bidings and separated stations biddings in the spot market, are detailed analysis. On the premise of participants with rational strategies that the establishment of dynamic equilibrium model with cooperation games between the two sides and design both attractive bargaining procedures for cascade station with the purchase to study a win-win strategy for the competitive side to avoid risks.
In view of the cascade hydropower stations on how to adapt the system of cross-regional market offers different ways and contradictions between market operations and bidding rules. Different rules for the operation of the regional market through further detailed study and discuss the general method of inter-regional electricity market competitive. According to the regional electricity at different times of the specific changes, the establishment of competitive cross-portfolio model plays an important role for strengthing the uses of hydroelectric energy, and increasing the efficiency of power generation.
A time-of-use (TOU) electricity price based day-ahead optimized mathematical model and algorithm for three gorges cascade stations is proposed. Achieving the optimal schedules of three gorges cascade hydropower stations at different load hours including peak and valley load hours Simulation results show that the schedules determined by the proposed model are reasonable and feasible and evident economic effect can be obtained. Comparing the power output processes of three gorges cascade hydropower stations in day-ahead electricity market under fixed electricity price mode with those under TOU mode, the gained conclusion is that the TOU model, by which the outputs of cascade hydropower stations become more reliable and the water resources can be comprehensively utilized, has good practical value
引文
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