考虑条件风险价值的虚拟电厂多电源容量优化配置模型
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摘要
虚拟电厂中风、光等可再生能源出力及市场电价的不确定性会导致其收益具有一定的风险性。合理配置虚拟电厂中风电、光伏、储能以及常规机组的容量,能够降低系统成本,使投资者的利益最大化。以投资和运行成本最小为优化目标,采用条件风险价值作为风险量度的指标,建立了一种基于投资组合理论中计及风险量度的虚拟电厂容量优化配置模型。在此基础上,探讨风险偏好对规划虚拟电厂多电源容量配置的影响,以及环境成本、自然资源及负荷之间的相关性对配置结果的影响。以美国德克萨斯州某地区附近的风、光资源,电价及负荷数据为实例,采用场景技术模拟不确定性。算例结果表明了该模型的正确性,可为不同风险偏好的投资商在规划建设虚拟电厂时面对多电源容量配置问题提供定量依据。
Output uncertainties of the wind power,photovoltaic and other renewable energy sources,together with the fluctuation of market price will lead to the risk of the profit of the virtual power plant(VPP).The reasonable allocation of the capacity of wind turbine generators,photovoltaic generation,battery and conventional units can improve the reliability of power supply and maximize the interests of investors.This paper proposes a method of optimizing the capacity of units in VPP considering risk measurement based on the investment portfolio theory that both investment and operation cost are included in the objective.The conditional value-at-risk(CVaR)is set as the risk measurement index,and the impact of risk preference on the multi-energy capacity allocation of VPP is investigated.Historical data of wind,photovoltaic resource and market price in Texas of the United States are employed as the representative scenarios,by using the scenario technologies to simulate uncertainties.The results validate the effectiveness of the proposed model,and provides a quantitative basis for the investors with different risk preferences when planning the multi-energy capacity optimal allocation of VPP problem.
Output uncertainties of the wind power,photovoltaic and other renewable energy sources,together with the fluctuation of market price will lead to the risk of the profit of the virtual power plant(VPP).The reasonable allocation of the capacity of wind turbine generators,photovoltaic generation,battery and conventional units can improve the reliability of power supply and maximize the interests of investors.This paper proposes a method of optimizing the capacity of units in VPP considering risk measurement based on the investment portfolio theory that both investment and operation cost are included in the objective.The conditional value-at-risk(CVaR)is set as the risk measurement index,and the impact of risk preference on the multi-energy capacity allocation of VPP is investigated.Historical data of wind,photovoltaic resource and market price in Texas of the United States are employed as the representative scenarios,by using the scenario technologies to simulate uncertainties.The results validate the effectiveness of the proposed model,and provides a quantitative basis for the investors with different risk preferences when planning the multi-energy capacity optimal allocation of VPP problem.
引文
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[15]张江林,夏榆杭,段登伟,等.基于WCVaR评估的虚拟发电厂能量市场收益-风险模型[J].电力系统自动化,2017,41(9):77-83.DOI:10.7500/AEPS20160716004.ZHANG Jianglin,XIA Yuhang,DUAN Dengwei,et al.Benefit-risk model of virtual power plant in energy market based on WCVaR assessment[J].Automation of Electric Power Systems,2017,41(9):77-83.DOI:10.7500/AEPS20160716004.
[16]URYASEV S.Conditional value at risk,optimization algorithms and applications[J].Financial Engineering News,2000,2(3):1-5.
[17]黄友珀,唐振鹏,周熙雯.基于偏t分布realized GARCH模型的尾部风险估计[J].系统工程理论与实践,2015,35(9):2200-2208.HUANG Youpo,TANG Zhenpeng,ZHOU Xiwen.Estimation of tail risk based on realized GARCH model with skew-t distribution[J].Systems Engineering-Theory&Practice,2015,35(9):2200-2208.
[18]RAMLI M A M,HIENDRO A,AL-TURKI Y A.Technoeconomic energy analysis of wind/solar hybrid system:case study for western coastal area of Saudi Arabia[J].Renewable Energy,2016,91:374-385.
[19]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.
[20]DABBAGH S R,SHEIKH-EL-ESLAMI M K.Risk assessment of virtual power plants offering in energy and reserve markets[J].IEEE Transactions on Power Systems,2016,31(5):3572-3582.
[21]SHABANZADEH M,SHEIKH-EL-ESLAMI M K,HAGHIFAM M R.The design of a risk-hedging tool for virtual power plants via robust optimization approach[J].Applied Energy,2005,155:766-777.
[22]ARDAKANI F J,RIAHY G,ABEDI M.Optimal sizing of a grid-connected hybrid system for north-west of Iran-case study[C]//IEEE Environment and Electrical Engineering,May 16-19,2010,Prague,Czech Republic:1369-1380.
[23]NREL[EB/OL].[2015-10-24].http://wind.nrel.gov/Web_nrel/.
[24]NREL[EB/OL].[2015-10-24].http://www.nrel.gov/electricity/transmission/solar_integration_methodolog.html.
[25]PJM[EB/OL].[2017-01-21].http://www.pjm.com/markets-and-operations/ancillary-services.aspx.
[26]钱科军,袁越,石晓丹,等.分布式发电的环境效益分析[J].中国电机工程学报,2008,28(29):11-15.QIAN Kejun,YUAN Yue,SHI Xiaodan,et al.Environmental benefits analysis of distributed generation[J].Proceedings of the CSEE,2008,28(29):11-15.
[27]刘小茂,李楚霖,王建华.风险资产组合的均值-CVaR有效前沿(Ⅱ)[J].管理工程学报,2005,19(1):1-5.LIU Xiaomao,LI Chulin,WANG Jianhua.Mean-CVaRefficient frontier and its economic implications(Ⅱ)[J].Journal of Industrial Engineering and Engineering Management,2005,19(1):1-5.
[2]丁明,王伟胜,王秀丽,等.大规模光伏发电对电力系统影响综述[J].中国电机工程学报,2014,34(1):1-14.DING Ming,WANG Weisheng,WANG Xiuli,et al.A review on the effect of large-scale PV generation on power systems[J].Proceedings of the CSEE,2014,34(1):1-14.
[3]杨丽君,吕雪姣,李丹,等.含分布式电源的配电网多故障抢修与恢复协调优化策略[J].电力系统自动化,2016,40(20):13-19.DOI:10.7500/AEPS20160116002.YANG Lijun,LYU Xuejiao,LI Dan,et al.Coordinated optimization strategy of multi-fault repair and recovery for distribution network with distributed generators[J].Automation of Electric Power Systems,2016,40(20):13-19.DOI:10.7500/AEPS20160116002.
[4]卫志农,余爽,孙国强,等.虚拟电厂的概念与发展[J].电力系统自动化,2013,37(13):1-9.WEI Zhinong,YU Shuang,SUN Guoqiang,et al.Concept and development of virtual power plant[J].Automation of Electric Power Systems,2013,37(13):1-9.
[5]荆朝霞,胡荣兴,袁灼新,等.含风/光/抽水蓄能并计及负荷响应的海岛微网优化配置[J].电力系统自动化,2017,41(1):65-72.DOI:10.7500/AEPS20160106008.JING Zhaoxia,HU Rongxing,YUAN Zhuoxin,et al.Capacity configuration optimization for island microgrid with wind/solar/pumped storage considering demand response[J].Automation of Electric Power Systems,2017,41(1):65-72.DOI:10.7500/AEPS20160106008.
[6]DUFO-LOPEZ R,BERNAL-AGUSTIN J L,YUSTA-LOYO JM,et al.Multi-objective optimization minimizing cost and life cycle emissions of stand-alone PV-wind-diesel systems with batteries storage[J].Applied Energy,2011,88(11):4033-4041.
[7]刘梦璇,王成山,郭力,等.基于多目标的独立微电网优化设计方法[J].电力系统自动化,2012,36(17):34-39.LIU Mengxuan,WANG Chengshan,GUO Li,et al.An optimal design method of multi-objective based island microgrid[J].Automation of Electric Power Systems,2012,36(17):34-39.
[8]黄昕颖,黎建,杨莉,等.基于投资组合的虚拟电厂多电源容量配置[J].电力系统自动化,2015,39(19):75-81.DOI:10.7500/AEPS20141110001.HUANG Xinying,LI Jian,YANG Li,et al.Investment portfolio based multi energy capacity allocation of virtual power plant[J].Automation of Electric Power Systems,2015,39(19):75-81.DOI:10.7500/AEPS20141110001.
[9]ELAINE K,HART M,JACOBSON Z.A Monte Carlo approach to generator portfolio planning and carbon emissions assessments of systems with large penetrations of variable renewable[J].Renewable Energy,2011,36(8):2278-2286.
[10]苗福丰,唐西胜,齐智平.储能参与风电场惯性响应的容量配置方法[J].电力系统自动化,2015,39(20):6-11.DOI:10.7500/AEPS20150201006.MIAO Fufeng,TANG Xisheng,QI Zhiping.Capacity configuration method for wind power plant inertia response considering energy storage[J].Automation of Electric Power Systems,2015,39(20):6-11.DOI:10.7500/AEPS20150201006.
[11]郑雅楠,周明,李庚银.大用户购电组合决策模型及对比分析[J].电网技术,2011,35(3):188-194.ZHENG Yanan,ZHOU Ming,LI Gengyin.Decision-making models for large consumer electricity purchasing portfolio and contrastive analysis on them[J].Power System Technology,2011,35(3):188-194.
[12]ZHENG Q P,WANG J H,LIU A L.Stochastic optimization for unit commitment:a review[J].IEEE Transactions on Power Systems,2015,30(4):1913-1924.
[13]ROCKAFELLAR R T,URYASEV S.Optimization of conditional value-at-risk[J].Journal of Risk,2000,2(3):21-41.
[14]徐维军,周平平,李婷,等.基于CVaR和多元权值约束下的积极投资组合模型[J].系统管理学报,2017,26(2):219-224.XU Weijun,ZHOU Pingping,LI Ting,et al.Active portfolio model with CVaR and multiple weight constraints[J].Journal of Systems&Management,2017,26(2):219-224.
[15]张江林,夏榆杭,段登伟,等.基于WCVaR评估的虚拟发电厂能量市场收益-风险模型[J].电力系统自动化,2017,41(9):77-83.DOI:10.7500/AEPS20160716004.ZHANG Jianglin,XIA Yuhang,DUAN Dengwei,et al.Benefit-risk model of virtual power plant in energy market based on WCVaR assessment[J].Automation of Electric Power Systems,2017,41(9):77-83.DOI:10.7500/AEPS20160716004.
[16]URYASEV S.Conditional value at risk,optimization algorithms and applications[J].Financial Engineering News,2000,2(3):1-5.
[17]黄友珀,唐振鹏,周熙雯.基于偏t分布realized GARCH模型的尾部风险估计[J].系统工程理论与实践,2015,35(9):2200-2208.HUANG Youpo,TANG Zhenpeng,ZHOU Xiwen.Estimation of tail risk based on realized GARCH model with skew-t distribution[J].Systems Engineering-Theory&Practice,2015,35(9):2200-2208.
[18]RAMLI M A M,HIENDRO A,AL-TURKI Y A.Technoeconomic energy analysis of wind/solar hybrid system:case study for western coastal area of Saudi Arabia[J].Renewable Energy,2016,91:374-385.
[19]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.
[20]DABBAGH S R,SHEIKH-EL-ESLAMI M K.Risk assessment of virtual power plants offering in energy and reserve markets[J].IEEE Transactions on Power Systems,2016,31(5):3572-3582.
[21]SHABANZADEH M,SHEIKH-EL-ESLAMI M K,HAGHIFAM M R.The design of a risk-hedging tool for virtual power plants via robust optimization approach[J].Applied Energy,2005,155:766-777.
[22]ARDAKANI F J,RIAHY G,ABEDI M.Optimal sizing of a grid-connected hybrid system for north-west of Iran-case study[C]//IEEE Environment and Electrical Engineering,May 16-19,2010,Prague,Czech Republic:1369-1380.
[23]NREL[EB/OL].[2015-10-24].http://wind.nrel.gov/Web_nrel/.
[24]NREL[EB/OL].[2015-10-24].http://www.nrel.gov/electricity/transmission/solar_integration_methodolog.html.
[25]PJM[EB/OL].[2017-01-21].http://www.pjm.com/markets-and-operations/ancillary-services.aspx.
[26]钱科军,袁越,石晓丹,等.分布式发电的环境效益分析[J].中国电机工程学报,2008,28(29):11-15.QIAN Kejun,YUAN Yue,SHI Xiaodan,et al.Environmental benefits analysis of distributed generation[J].Proceedings of the CSEE,2008,28(29):11-15.
[27]刘小茂,李楚霖,王建华.风险资产组合的均值-CVaR有效前沿(Ⅱ)[J].管理工程学报,2005,19(1):1-5.LIU Xiaomao,LI Chulin,WANG Jianhua.Mean-CVaRefficient frontier and its economic implications(Ⅱ)[J].Journal of Industrial Engineering and Engineering Management,2005,19(1):1-5.