流域梯级水电站中长期调度与跨价区交易组合双层优化模型
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摘要
随着我国新一轮电改不断推进,流域梯级水电参与电力市场成为大势所趋。如何在市场环境下安排梯级水电出力计划、合理组织参与各类交易,促进水电大范围消纳成为亟需解决的问题。该文探讨了梯级水电参与现货市场及合约市场的交易框架,并对现货交易及跨价区合约交易面临的风险聚焦分析;构建双层优化模型:上层为中长期优化调度层,根据径流和交易价格预测,及调度规律制定梯级水电站出力计划,挖掘水电效益空间;下层为电量分配风险决策层,组织各时段电量计划参与多种交易,采用多时段条件风险价值模型度量交易组合的价格风险及跨价区交易阻塞风险,寻求收益和风险的合理决策。最后,以乌江干流"4库7梯级"水电系统为例,模拟市场交易场景验证所提模型和方法的有效性,为梯级水电站参与电力市场调度决策和风险评估提供参考。
With progressively promotion for China's new reformation of electric power system, cascade hydropower stations participating in power market is becoming a trend. In a competitive market environment, the problems including how to arrange power plan of cascade hydropower and participate in various types of trading reasonably, and promote large-scale consumption of hydropower, are urgently needed to be solved. In this paper, a trading framework of hydropower producers participating in spot market and contract market was discussed. In addition, the risks which spot transaction and cross-price area contract transaction face were analyzed. A bi-level optimal model is built, in which, the upper layer is designed for medium and long-term optimal scheduling. To explore benefit space of cascade hydropower, the output plan was predicted by runoff and energy price and drew up by scheduling regulation. The lower layer is designed for risk decision of electricity allocation. In which, the scheduled electricity during each period was distributed in various transactions and multi-stage conditional value-at-risk(CVa R) was utilized to measure portfolio risk to seek a reasonable decision between revenue and risk. Finally, a hydropower system with 4 reservoirs and 7 cascades on Wujiang River was taken as case study. Market transaction scenario was simulated to verify the effectiveness of the model and methodology proposed, which providing reference for dispatching decision and risk assessment of cascade hydropower stations participating in power market.
With progressively promotion for China's new reformation of electric power system, cascade hydropower stations participating in power market is becoming a trend. In a competitive market environment, the problems including how to arrange power plan of cascade hydropower and participate in various types of trading reasonably, and promote large-scale consumption of hydropower, are urgently needed to be solved. In this paper, a trading framework of hydropower producers participating in spot market and contract market was discussed. In addition, the risks which spot transaction and cross-price area contract transaction face were analyzed. A bi-level optimal model is built, in which, the upper layer is designed for medium and long-term optimal scheduling. To explore benefit space of cascade hydropower, the output plan was predicted by runoff and energy price and drew up by scheduling regulation. The lower layer is designed for risk decision of electricity allocation. In which, the scheduled electricity during each period was distributed in various transactions and multi-stage conditional value-at-risk(CVa R) was utilized to measure portfolio risk to seek a reasonable decision between revenue and risk. Finally, a hydropower system with 4 reservoirs and 7 cascades on Wujiang River was taken as case study. Market transaction scenario was simulated to verify the effectiveness of the model and methodology proposed, which providing reference for dispatching decision and risk assessment of cascade hydropower stations participating in power market.
引文
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[14]施锦月,许健,曾博,等.基于热电比可调模式的区域综合能源系统双层优化运行[J].电网技术,2016,40(10):2959-2966.Shi Jinyue,Xu Jian,Zeng Bo,et al.A Bi-level optimal operation for energy hub based on regulating heat-to-electric ratio mode[J].Power System Technology,2016,40(10):2959-2966(in Chinese).
[15]White H,Kim T H,Manganelli S.VAR for Va R:measuring tail dependence using multivariate regression quantiles[J].Journal of Econometrics,2015,187(1):169-188.
[16]Eydeland A,Wolyniec K.Energy and power risk management:new developments in modeling,pricing,and hedging[M].Hoboken,NJ:John Wiley&Sons,2003.
[17]Yang Jiajia,Zhao Junhua,Wen Fushuan,et al.A risk management model for carbon constrained coal inventory optimization[C]//Proceedings of 2015 IEEE PES Asia-Pacific Power and Energy Engineering Conference(APPEEC).Brisbane,QLD,Australia:IEEE,2015:1-5.
[18]吴杨,刘俊勇,高红均,等.基于风险决策的风火发电权交易研究[J].电网技术,2016,40(3):833-839.Wu Yang,Liu Junyong,Gao Hongjun,et al.Research on power generation right trading between wind power and thermal power based on risky decision-making[J].Power System Technology,2016,40(3):833-839(in Chinese).
[19]申建建,程春田,程雄,等.大型梯级水电站群调度混合非线性优化方法[J].中国科学:技术科学,2014,44(3):306-314.Shen Jianjian,Cheng Chuntian,Cheng Xiong,et al.Ahybrid nonlinear optimization method for operation of large-scale cascaded hydropower plants[J].Scientia Sinica:Technologica,2014,44(3):306-314(in Chinese).
[20]冯仲恺,廖胜利,牛文静,等.梯级水电站群中长期优化调度的正交离散微分动态规划方法[J].中国电机工程学报,2015,35(18):4635-4644.Feng Zhongkai,Liao Shengli,Niu Wenjing,et al.Orthogonal discrete differential dynamic programming for mid-long term optimal operation of cascade hydropower system[J].Proceedings of the CSEE,2015,35(18):4635-4644(in Chinese).
[21]王壬,尚金成,冯旸,等.基于CVa R风险计量指标的发电商投标组合策略及模型[J].电力系统自动化,2005,29(14):5-9.Wang Ren,Shang Jincheng,Feng Yang,et al.Combined bidding strategy and model for power suppliers based on CVa R risk measurement techniques[J].Automation of Electric Power Systems,2005,29(14):5-9(in Chinese).
[22]王海冰,王承民,张庚午,等.考虑条件风险价值的两阶段发电调度随机规划模型和方法[J].中国电机工程学报,2016,36(24):6838-6848.Wang Haibing,Wang Chengmin,Zhang Gengwu,et al.Two-Stage stochastic generation dispatching model and method considering conditional value-at-risk[J].Proceedings of the CSEE,2016,36(24):6838-6848(in Chinese).
[23]吴薇,刘俊勇,张建明,等.考虑不确定因素的发电商短期优化调度[J].华东电力,2011,39(12):1969-1973.Wu Wei,Liu Junyong,Zhang Jianming,et al.Short-Term Optimal Scheduling of Power Generators Considering Uncertainties[J].East China Electric Power,2011,39(12):1969-1973(in Chinese).
[24]Liu Hongling,Jiang Chuanwen,Zhang Yan.A review on risk-constrained hydropower scheduling in deregulated power market[J].Renewable and Sustainable Energy Reviews,2008,12(5):1465-1475.
[25]Kardakos E G,Simoglou C K,Bakirtzis A G.Optimal offering strategy of a virtual power plant:a stochastic Bi-level approach[J].IEEE Transactions on Smart Grid,2016,7(2):794-806.
[26]黄伟.双层规划理论在电力系统中的应用研究[D].杭州:浙江大学,2007.Huang Wei.Research on the application of bi level programming theory in power system[D].Hangzhou:Zhejiang University,2007(in Chinese).
[27]吴昊,纪昌明,蒋志强,等.梯级水库群发电优化调度的大系统分解协调模型[J].水力发电学报,2015,34(11):40-50.Wu Hao,Ji Changming,Jiang Zhiqiang,et al.Large system decomposition-coordination model for optimal power-generation scheduling of cascade reservoirs[J].Journal of Hydroelectric Engineering,2015,34(11):40-50(in Chinese).
[28]黄强,高凡,张永永,等.乌江梯级水库群优化调度规律研究[J].水力发电学报,2011,30(4):42-48.Huang Qiang,Gao Fan,Zhang Yongyong,et al.Study on the optimal operation rules of cascade reservoirs in Wujiang Basin[J].Journal of Hydroelectric Engineering,2011,30(4):42-48(in Chinese).
[2]Wang Chao,Zhou Jianzhong,Lu Peng,et al.Long-term scheduling of large cascade hydropower stations in Jinsha River,China[J].Energy Conversion and Management,2015,90:476-487.
[3]申建建,程春田,程雄,等.跨省送电梯级水电站群调峰调度两阶段搜索方法[J].中国电机工程学报,2014,34(28):4817-4826.Shen Jianjian,Cheng Chuntian,Cheng Xiong,et al.Atwo-stage search method for peak operation of cascaded hydropower plants serving multiple provincial power grids[J].Proceedings of the CSEE,2014,34(28):4817-4826(in Chinese).
[4]刘方,张粒子.基于大系统分解协调和多核集群并行计算的流域梯级水电中长期调度[J].中国电机工程学报,2017,37(9):2479-2490.Liu Fang,Zhang Lizi.Long term optimal operation of cascade hydropower based on multicore cluster parallel computing and large system decomposition-coordination[J].Proceedings of the CSEE,2017,37(9):2479-2490(in Chinese).
[5]中共中央国务院.关于进一步深化电力体制改革的若干意见(中发[2015]9号)[EB/OL].2015-03-15[2016-12-14].http://tgs.ndrc.gov.cn/zywj/201601/t20160129_773852.html.
[6]国家发展改革委,国家能源局.关于印发电力体制改革配套文件的通知[EB/OL].2015-11-26[2016-12-14].http://tgs.ndrc.gov.cn/zywj/201601/t20160129_773854.html.
[7]Dahlgren R,Liu C C,Lawarree J.Risk assessment in energy trading[J].IEEE Transactions on Power Systems,2003,18(2):503-511.
[8]Yang Hongming,Zhang Sanhua,Qiu Jing,et al.CVa R-constrained optimal bidding of electric vehicle aggregators in day-ahead and real-time markets[J].IEEETransactions on Industrial Informatics,2017,doi:10.1109/TII.2017.2662069.
[9]Tan Zhongfu,Wang Guan,Ju Liwei,et al.Application of CVa R risk aversion approach in the dynamical scheduling optimization model for virtual power plant connected with wind-photovoltaic-energy storage system with uncertainties and demand response[J].Energy,2017,124:198-213.
[10]冯冬涵,甘德强,钟金,等.发电商多交易策略的有效前沿分析(一)模型的建立[J].电力系统自动化,2007,31(13):29-35.Feng Donghan,Gan Deqiang,Zhong Jin,et al.An efficient frontier analysis for the genco multi-trading strategy part one model analysis[J].Automation of Electric Power Systems,2007,31(13):29-35(in Chinese).
[11]Liu Weijia,Wu Qiuwei,Wen Fushuan,et al.Day-ahead congestion management in distribution systems through household demand response and distribution congestion prices[J].IEEE Transactions on Smart Grid,2014,5(6):2739-2747.
[12]刘敏,吴复立.电力市场环境下发电商电能分配策略研究[J].中国电机工程学报,2008,28(25):111-117.Liu Min,Wu Fuli.Trading strategy of generation companies in electricity market[J].Proceedings of the CSEE,2008,28(25):111-117(in Chinese).
[13]尚金成,张兆峰,韩刚,等.区域电力市场竞价交易模型与交易机制的研究(二)电价机制及其稳定制度、市场风险及其规避、结算机制与市场盈余公平分配模型[J].电力系统自动化,2005,29(13):5-12.Shang Jincheng,Zhang Zhaofeng,Han Gang,et al.Study on transaction model and mechanism of competitive regional electricity market part two pricing mechanism and stabilization system,market risk and evasion,settlement mechanism and market surplus allocation[J].Automation of Electric Power Systems,2005,29(13):5-12(in Chinese).
[14]施锦月,许健,曾博,等.基于热电比可调模式的区域综合能源系统双层优化运行[J].电网技术,2016,40(10):2959-2966.Shi Jinyue,Xu Jian,Zeng Bo,et al.A Bi-level optimal operation for energy hub based on regulating heat-to-electric ratio mode[J].Power System Technology,2016,40(10):2959-2966(in Chinese).
[15]White H,Kim T H,Manganelli S.VAR for Va R:measuring tail dependence using multivariate regression quantiles[J].Journal of Econometrics,2015,187(1):169-188.
[16]Eydeland A,Wolyniec K.Energy and power risk management:new developments in modeling,pricing,and hedging[M].Hoboken,NJ:John Wiley&Sons,2003.
[17]Yang Jiajia,Zhao Junhua,Wen Fushuan,et al.A risk management model for carbon constrained coal inventory optimization[C]//Proceedings of 2015 IEEE PES Asia-Pacific Power and Energy Engineering Conference(APPEEC).Brisbane,QLD,Australia:IEEE,2015:1-5.
[18]吴杨,刘俊勇,高红均,等.基于风险决策的风火发电权交易研究[J].电网技术,2016,40(3):833-839.Wu Yang,Liu Junyong,Gao Hongjun,et al.Research on power generation right trading between wind power and thermal power based on risky decision-making[J].Power System Technology,2016,40(3):833-839(in Chinese).
[19]申建建,程春田,程雄,等.大型梯级水电站群调度混合非线性优化方法[J].中国科学:技术科学,2014,44(3):306-314.Shen Jianjian,Cheng Chuntian,Cheng Xiong,et al.Ahybrid nonlinear optimization method for operation of large-scale cascaded hydropower plants[J].Scientia Sinica:Technologica,2014,44(3):306-314(in Chinese).
[20]冯仲恺,廖胜利,牛文静,等.梯级水电站群中长期优化调度的正交离散微分动态规划方法[J].中国电机工程学报,2015,35(18):4635-4644.Feng Zhongkai,Liao Shengli,Niu Wenjing,et al.Orthogonal discrete differential dynamic programming for mid-long term optimal operation of cascade hydropower system[J].Proceedings of the CSEE,2015,35(18):4635-4644(in Chinese).
[21]王壬,尚金成,冯旸,等.基于CVa R风险计量指标的发电商投标组合策略及模型[J].电力系统自动化,2005,29(14):5-9.Wang Ren,Shang Jincheng,Feng Yang,et al.Combined bidding strategy and model for power suppliers based on CVa R risk measurement techniques[J].Automation of Electric Power Systems,2005,29(14):5-9(in Chinese).
[22]王海冰,王承民,张庚午,等.考虑条件风险价值的两阶段发电调度随机规划模型和方法[J].中国电机工程学报,2016,36(24):6838-6848.Wang Haibing,Wang Chengmin,Zhang Gengwu,et al.Two-Stage stochastic generation dispatching model and method considering conditional value-at-risk[J].Proceedings of the CSEE,2016,36(24):6838-6848(in Chinese).
[23]吴薇,刘俊勇,张建明,等.考虑不确定因素的发电商短期优化调度[J].华东电力,2011,39(12):1969-1973.Wu Wei,Liu Junyong,Zhang Jianming,et al.Short-Term Optimal Scheduling of Power Generators Considering Uncertainties[J].East China Electric Power,2011,39(12):1969-1973(in Chinese).
[24]Liu Hongling,Jiang Chuanwen,Zhang Yan.A review on risk-constrained hydropower scheduling in deregulated power market[J].Renewable and Sustainable Energy Reviews,2008,12(5):1465-1475.
[25]Kardakos E G,Simoglou C K,Bakirtzis A G.Optimal offering strategy of a virtual power plant:a stochastic Bi-level approach[J].IEEE Transactions on Smart Grid,2016,7(2):794-806.
[26]黄伟.双层规划理论在电力系统中的应用研究[D].杭州:浙江大学,2007.Huang Wei.Research on the application of bi level programming theory in power system[D].Hangzhou:Zhejiang University,2007(in Chinese).
[27]吴昊,纪昌明,蒋志强,等.梯级水库群发电优化调度的大系统分解协调模型[J].水力发电学报,2015,34(11):40-50.Wu Hao,Ji Changming,Jiang Zhiqiang,et al.Large system decomposition-coordination model for optimal power-generation scheduling of cascade reservoirs[J].Journal of Hydroelectric Engineering,2015,34(11):40-50(in Chinese).
[28]黄强,高凡,张永永,等.乌江梯级水库群优化调度规律研究[J].水力发电学报,2011,30(4):42-48.Huang Qiang,Gao Fan,Zhang Yongyong,et al.Study on the optimal operation rules of cascade reservoirs in Wujiang Basin[J].Journal of Hydroelectric Engineering,2011,30(4):42-48(in Chinese).