促进新能源消纳的自备电厂参与替代交易风险管理研究
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摘要
由于市场价格等因素的不确定性,自备电厂企业在参与替代交易中需要综合考虑利润和风险的均衡问题。考虑电价风险、电量风险、燃煤成本等主要风险,利用金融管理当中的效用函数和CVaR方法,建立自备电厂企业的风险评估决策模型。通过二次规划求解参与替代交易的电量在不同市场环境的最优分配系数和CVaR值。分析了决策者的不同风险厌恶度、违约行为、燃煤成本变化对交易的电量分配系数、期望利润、CVaR值的影响。研究表明,该模型能够准确反映自备电厂企业不同交易策略所带来的收益和自备电厂企业参与替代交易面临的风险大小,使交易收益最大化、风险最小化。
Due to the uncertainty of factors such as market price, self-provided power plant enterprises need to consider the balance of profit and risk in participating in alternative transactions. This paper considers the main risks such as electricity price risk, electricity risk and coal burning cost, and uses the utility function and CVaR method in financial management to establish a risk assessment decision model for self-sufficient power plant enterprises. Through the quadratic programming, the optimal partition coefficient and CVaR value of the electricity participating in the alternative transaction in different market environments are solved. The influences of different risk aversion, default behavior, coal cost changes on the electricity distribution coefficient, expected profit and CVaR value of the decision makers are analyzed. The research shows that the model can accurately reflect the benefits brought by different trading strategies of captive power plant enterprises and the risk of self-sufficient power plant enterprises participating in alternative transactions, so as to maximize the return of transactions and minimize risks.
Due to the uncertainty of factors such as market price, self-provided power plant enterprises need to consider the balance of profit and risk in participating in alternative transactions. This paper considers the main risks such as electricity price risk, electricity risk and coal burning cost, and uses the utility function and CVaR method in financial management to establish a risk assessment decision model for self-sufficient power plant enterprises. Through the quadratic programming, the optimal partition coefficient and CVaR value of the electricity participating in the alternative transaction in different market environments are solved. The influences of different risk aversion, default behavior, coal cost changes on the electricity distribution coefficient, expected profit and CVaR value of the decision makers are analyzed. The research shows that the model can accurately reflect the benefits brought by different trading strategies of captive power plant enterprises and the risk of self-sufficient power plant enterprises participating in alternative transactions, so as to maximize the return of transactions and minimize risks.
引文
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[7]郭源善,匡洪辉,郭少青,等.协调中长期市场交易计划与日发电计划的周机组组合策略研究[J].电力系统保护与控制,2017,45(22):78-82.GUO Yuanshan,KUANG Honghui,GUO Shaoqing,et al.Research on weekly unit commitment strategy harmonizing long term market tradeplanning and daily generation scheduling[J].Power System Protection and Control,2017,45(22):78-82.
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[11]张宗益,亢娅丽,郭兴磊.基于谱风险度量的大用户直购电组合模型分析[J].电工技术学报,2013,28(1):266-270.ZHANG Zongyi,KANG Yali,GUO Xinglei.Model analysis of large consumers’power purchase portfolio based on spectral measures of risk[J].Transactions of China Electrotechnical Society,2013,28(1):266-270.
[12]雷霞,刘俊勇,党晓强.配电市场购售电优化模型研究综述[J].电力系统保护与控制,2010,38(2):136-145.LEI Xia,LIU Junyong,DANG Xiaoqiang.Review of optimal models of purchase and sale in distribution electricity market[J].Power System Protection and Control,2010,38(2):136-145.
[13]刘伟佳,尚金成,周文玮,等.基于多重分形理论的电力市场风险价值评估[J].电力系统自动化,2013,37(7):48-54.LIU Weijia,SHANG Jincheng,ZHOU Wenwei,et al.Evaluation of value-at-risk in electricity markets based on multifractal theory[J].Automation of Electric Power Systems,2013,37(7):48-54.
[14]王金凤,李渝曾,张少华.基于CVaR的供电公司电能购买决策模型[J].电力自动化设备,2008,28(2):19-23.WANG Jinfeng,LI Yuzeng,ZHANG Shaohua.CVaR-based electricity purchase model for power supply company[J].Electric Power Automation Equipment,2008,28(2):19-23.
[15]朱文昊,谢品杰.基于CVaR的峰谷分时电价对供电公司购电组合策略影响分析[J].电力系统保护与控制,2015,43(14):16-21.ZHU Wenhao,XIE Pinjie.Influence analysis of CvaRmodel based TOU electricity price on portfolio strategy[J].Power System Protection and Control,2015,43(14):16-21.
[16]LIU M,WU F F.Managing price risk in a multimarket environment[J].IEEE Transactions on Power Systems,2006,21(4):1512-1519.
[17]姚海祥,李仲飞.不同借贷利率下的投资组合选择——基于均值和Va R的效用最大化模型[J].系统工程理论与实践,2009,29(1):22-28.YAO Haixiang,LI Zhongfei.Portfplio selection with different borrowing-lending rates:utility maximization model based on mean and Va R[J].System Engineering Theory and Practice,2009,29(1):22-28.
[18]刘敏,吴复立.电力市场环境下发电公司风险管理框架[J].电力系统自动化,2004,28(13):1-6.LIU Min,WU Fuli.A framework for generation risk management in electricity markets[J].Automation of Electric Power Systems,2004,28(13):1-6.
[19]郭兴磊,张宗益,亢娅丽,等.基于CVaR模型的大用户直购电决策分析[J].电力系统保护与控制,2011,39(18):32-37.GUO Xinglei,ZHANG Zongyi,KANG Yali,et al.Research on direct-power-purchasing decision of large consumers based on CVaR model[J].Power System Protection and Control,2011,39(18):32-37.
[20]熊尚飞,邹小燕.电力市场价格风险价值与波动预测研究综述[J].电力系统保护与控制,2014,42(2):146-153.XIONG Shangfei,ZOU Xiaoyan.Value at risk and price volatility forecasting in electricity market:a literature review[J].Power System Protection and Control,2014,42(2):146-153.
[21]徐辉,焦扬,蒲雷,等.计及不确定性和需求响应的风光燃储集成虚拟电厂随机调度优化模型[J].电网技术,2017,41(11):3590-3597.XU Hui,JIAO Yang,PU Lei,et al.Stochastic scheduling optimization model for virtual power plant of integrated wind-photovoltaic-energy storage system considering uncertainty and demand response[J].Power System Technology,2017,41(11):3590-3597.
[22]易国伟,童小娇,周鹏,等.CVaR和EVaR安全运行风险管理下的电力系统经济调度[J].电力系统保护与控制,2016,44(8):49-56.YI Guowei,TONG Xiaojiao,ZHOU Peng,et al.Power system economic dispatch under CVaR and EVaR security operation risk management[J].Power System Protection and Control,2016,44(8):49-56.
[23]王秀国,王义东.基于随机基准的动态均值-方差投资组合选择[J].控制与决策,2014,29(3):499-505.WANG Xiuguo,WANG Yidong.Dynamic mean-variance portfolio selection based on stochastic benchmark[J].Control and Decision,2014,29(3):499-505.
[2]白雪.节能减排目标下的自备电厂发电权转让交易研究[D].哈尔滨:哈尔滨工业大学,2011.BAI Xue.Research on generation rights trade of selfgeneration power plants consider energy-saving emission reduction[D].Harbin:Harbin Institute of Technology,2011.
[3]张显,耿建,庞博,等.发电权交易在中国节能减排中的应用及分析[J].电力系统自动化,2014,38(17):87-90.ZHANG Xian,GENG Jian,PANG Bo,et al.Application and analysis of generation right trade in energy-saving and emission reduction in China[J].Automation of Electric Power Systems,2014,38(17):87-90.
[4]杨胡萍,严飞飞,张力,等.考虑静态电压稳定约束的低网损发电权交易优化[J].电力系统保护与控制,2017,45(4):45-49.YANG Huping,YAN Feifei,ZHANG Li,et al.Optimization of low network loss generation right transaction considering steady state voltage stability constraint[J].Power System Protection and Control,2017,45(4):45-49.
[5]华夏,罗凡,张建华,等.促进新能源消纳的自备电厂发电权交易模式可行性探讨[J].电力系统自动化,2016,40(12):200-206.HUA Xia,LUO Fan,ZHANG Jianhua,et al.Feasibility analysis of trade mode promoting new energy consumption based on generation rights trade of self-generation power plants[J].Automation of Electric Power Systems,2016,40(12):200-206.
[6]周竞,王珂,王维洲,等.自备电厂参与新能源消纳的交易模式效益分析及应用探讨[J].电力系统自动化,2016,40(14):145-150.ZHOU Jing,WANG Ke,WANG Weizhou,et al.Benefit Analysis and application discussion of trading mode with self-owned power plant participating in renewable energy consumption[J].Automation of Electric Power Systems,2016,40(14):145-150.
[7]郭源善,匡洪辉,郭少青,等.协调中长期市场交易计划与日发电计划的周机组组合策略研究[J].电力系统保护与控制,2017,45(22):78-82.GUO Yuanshan,KUANG Honghui,GUO Shaoqing,et al.Research on weekly unit commitment strategy harmonizing long term market tradeplanning and daily generation scheduling[J].Power System Protection and Control,2017,45(22):78-82.
[8]宋巍,王佳伟,赵海波,等.考虑需求响应交易市场的虚拟电厂多阶段竞价策略研究[J].电力系统保护与控制,2017,45(19):35-45.SONG Wei,WANG Jiawei,ZHANG Haibo,et al.Research on multi-stage bidding strategy of virtual power plantconsidering demand response market[J].Power System Protection and Control,2017,45(19):35-45.
[9]刘皓明,韩蜜蜜,侯云鹤,等.供电公司多能量市场最优购电组合的加权CVaR模型[J].电网技术,2010,34(9):133-138.LIU Haoming,HAN Mimi,HOU Yunhe,et al.A meanweighted CVa R model for distribution company’s optimal portfolio in multi-energy markets[J].Power System Technology,2010,34(9):133-138.
[10]刘春辉,刘敏.电力市场环境下考虑大用户直购电的电网公司风险管理研究[J].电力系统保护与控制,2011,39(12):94-101.LIU Chunhui,LIU Min.Study on risk management for power grid company considering large consumers direct electricity purchasing in electricity markets[J].Power System Protection and Control,2011,39(12):94-101.
[11]张宗益,亢娅丽,郭兴磊.基于谱风险度量的大用户直购电组合模型分析[J].电工技术学报,2013,28(1):266-270.ZHANG Zongyi,KANG Yali,GUO Xinglei.Model analysis of large consumers’power purchase portfolio based on spectral measures of risk[J].Transactions of China Electrotechnical Society,2013,28(1):266-270.
[12]雷霞,刘俊勇,党晓强.配电市场购售电优化模型研究综述[J].电力系统保护与控制,2010,38(2):136-145.LEI Xia,LIU Junyong,DANG Xiaoqiang.Review of optimal models of purchase and sale in distribution electricity market[J].Power System Protection and Control,2010,38(2):136-145.
[13]刘伟佳,尚金成,周文玮,等.基于多重分形理论的电力市场风险价值评估[J].电力系统自动化,2013,37(7):48-54.LIU Weijia,SHANG Jincheng,ZHOU Wenwei,et al.Evaluation of value-at-risk in electricity markets based on multifractal theory[J].Automation of Electric Power Systems,2013,37(7):48-54.
[14]王金凤,李渝曾,张少华.基于CVaR的供电公司电能购买决策模型[J].电力自动化设备,2008,28(2):19-23.WANG Jinfeng,LI Yuzeng,ZHANG Shaohua.CVaR-based electricity purchase model for power supply company[J].Electric Power Automation Equipment,2008,28(2):19-23.
[15]朱文昊,谢品杰.基于CVaR的峰谷分时电价对供电公司购电组合策略影响分析[J].电力系统保护与控制,2015,43(14):16-21.ZHU Wenhao,XIE Pinjie.Influence analysis of CvaRmodel based TOU electricity price on portfolio strategy[J].Power System Protection and Control,2015,43(14):16-21.
[16]LIU M,WU F F.Managing price risk in a multimarket environment[J].IEEE Transactions on Power Systems,2006,21(4):1512-1519.
[17]姚海祥,李仲飞.不同借贷利率下的投资组合选择——基于均值和Va R的效用最大化模型[J].系统工程理论与实践,2009,29(1):22-28.YAO Haixiang,LI Zhongfei.Portfplio selection with different borrowing-lending rates:utility maximization model based on mean and Va R[J].System Engineering Theory and Practice,2009,29(1):22-28.
[18]刘敏,吴复立.电力市场环境下发电公司风险管理框架[J].电力系统自动化,2004,28(13):1-6.LIU Min,WU Fuli.A framework for generation risk management in electricity markets[J].Automation of Electric Power Systems,2004,28(13):1-6.
[19]郭兴磊,张宗益,亢娅丽,等.基于CVaR模型的大用户直购电决策分析[J].电力系统保护与控制,2011,39(18):32-37.GUO Xinglei,ZHANG Zongyi,KANG Yali,et al.Research on direct-power-purchasing decision of large consumers based on CVaR model[J].Power System Protection and Control,2011,39(18):32-37.
[20]熊尚飞,邹小燕.电力市场价格风险价值与波动预测研究综述[J].电力系统保护与控制,2014,42(2):146-153.XIONG Shangfei,ZOU Xiaoyan.Value at risk and price volatility forecasting in electricity market:a literature review[J].Power System Protection and Control,2014,42(2):146-153.
[21]徐辉,焦扬,蒲雷,等.计及不确定性和需求响应的风光燃储集成虚拟电厂随机调度优化模型[J].电网技术,2017,41(11):3590-3597.XU Hui,JIAO Yang,PU Lei,et al.Stochastic scheduling optimization model for virtual power plant of integrated wind-photovoltaic-energy storage system considering uncertainty and demand response[J].Power System Technology,2017,41(11):3590-3597.
[22]易国伟,童小娇,周鹏,等.CVaR和EVaR安全运行风险管理下的电力系统经济调度[J].电力系统保护与控制,2016,44(8):49-56.YI Guowei,TONG Xiaojiao,ZHOU Peng,et al.Power system economic dispatch under CVaR and EVaR security operation risk management[J].Power System Protection and Control,2016,44(8):49-56.
[23]王秀国,王义东.基于随机基准的动态均值-方差投资组合选择[J].控制与决策,2014,29(3):499-505.WANG Xiuguo,WANG Yidong.Dynamic mean-variance portfolio selection based on stochastic benchmark[J].Control and Decision,2014,29(3):499-505.