基于相对鲁棒CVaR的电网投资项目组合优化模型研究
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摘要
在新一轮电改的背景下,电网投资将面临更多的不确定性风险,亟需落实精准投资以降低投资风险.将相对鲁棒CVaR风险度量模型应用于电网投资项目组合优化中,构建了基于相对鲁棒CVaR的电网投资项目组合优化模型,并通过蒙特卡洛仿真和K-means聚类方法进行随机样本的生成与削减.算例结果表明,相对鲁棒CVaR模型具有极好的鲁棒性,能够在相对最坏情景下保证电网投资风险的最小化;同时,相对于绝对鲁棒CVaR模型减小了决策结果的保守性.
In the context of the new round of power system reform, grid investors will face more uncertainty risks, and it is urgent to implement precise investment to reduce investment risks. In this paper, the relatively robust CVaR risk metric model is applied to the grid investment project portfolio optimization, and the grid investment project portfolio optimization model based on relative robust CVaR is constructed. The Monte Carlo simulation and Kmeans clustering method are respectively used to generate and reduce random samples. The results of the example show that the RRCVaR model has excellent robustness and can minimize the risk of grid investment in the relative worst case. In addition, the conservativeness of the decision result is reduced compared with the Worst-Case CVaR model.
In the context of the new round of power system reform, grid investors will face more uncertainty risks, and it is urgent to implement precise investment to reduce investment risks. In this paper, the relatively robust CVaR risk metric model is applied to the grid investment project portfolio optimization, and the grid investment project portfolio optimization model based on relative robust CVaR is constructed. The Monte Carlo simulation and Kmeans clustering method are respectively used to generate and reduce random samples. The results of the example show that the RRCVaR model has excellent robustness and can minimize the risk of grid investment in the relative worst case. In addition, the conservativeness of the decision result is reduced compared with the Worst-Case CVaR model.
引文
[1]王绵斌,谭忠富,张丽英,蔡丞恺.市场环境下电网投资风险评估的集对分析方法[J].中国电机工程学报,2010, 30(19):91-99.
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[3]张华一,文福拴,张璨,田春筝.基于前景理论的电网建设项目组合多属性决策方法[J].电力系统自动化,2016, 40(14):8-14.
[4]杨海峰,崔莹莹,崔巍.基于多目标函数的电网项目投资组合[J].电力科学与技术学报,2013, 28(02):75-79+84.
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[8]常燕,陈武,赵罡.电网投资决策定量分析技术与模型——基于动态规划方法的实证预测[J].技术经济,2012, 31(02):56-62+107.
[9]卢键明,梁耀林,梁俭,孔慧超,刘英新,曾鸣.新形势下电网企业输配电固定资产投资优化配置的系统动力学仿真应用[J].水电能源科学,2017, 35(07):198-201+205.
[10]马倩,王琛,李扬,主,周磊.增量配电业务放开下电网企业投资风险分析[J].电力建设,2017, 38(09):139-144.
[11] ROCKAFELLAR R T,URYASEY S. Optimization of conditional value-at-risk[J]. The Journal of Risk, 1999, 29(1):1071-1074.
[12] Lobo M S, Boyd S. The worst-case risk of a portfolio[OL]. Technical Report, http://faculty.fuqua.kuke.edu/mlobo/bio/research/risk-bnd.pdf.,2002.
[13] El Ghaoui L, Oks M, Oustry F. Worst-case value-at-risk and robust portfolio optimization:a conic programming approach[J]. Operations Research, 2003, 51(4):543-556.
[14] Zhu S S, Fukushima M. Worst-case conditional value-at-risk with application to robust portfolio management[J]. Operations Research, 2009, 57(5):1155-1168.
[15] Huang D S, Zhu S S, Fabozzi F J, et al. Portfolio selection under distributional uncertainty:a relative robust CVaR approach[J]. European Journal of Operational Research, 2010, 203(1):185-194.
[16]张春梅,陈志平.基于CVaR的相对鲁棒投资组合问题研究[J].工程数学学报,2013, 30(04):525-534.
[17]邓创,鞠立伟,刘俊勇,谭忠富.基于模糊CVaR理论的水火电系统随机调度多目标优化模型[J].电网技术,2016, 40(5):7-16.
[2]葛少云,徐东星,刘洪,刘阳,郭寅昌,朱永卫,梁忆辰.基于项目库的两阶段项目综合决策优化[J].电力系统保护与控制,2012, 40(22):118-123+128.
[3]张华一,文福拴,张璨,田春筝.基于前景理论的电网建设项目组合多属性决策方法[J].电力系统自动化,2016, 40(14):8-14.
[4]杨海峰,崔莹莹,崔巍.基于多目标函数的电网项目投资组合[J].电力科学与技术学报,2013, 28(02):75-79+84.
[5]董军,马博.考虑社会效益的电网最优投资组合模型研究[J].运筹与管理,2010, 19(04):131-135.
[6]崔巍,崔莹莹,杨海峰.电网专项领域投资决策模型[J].电力建设,2013, 34(10):112-117.
[7]陈大宇,肖峻,王成山.基于模糊层次分析法的城市电网规划决策综合评判[J].电力系统及其自动化学报,2003(04):15-24.
[8]常燕,陈武,赵罡.电网投资决策定量分析技术与模型——基于动态规划方法的实证预测[J].技术经济,2012, 31(02):56-62+107.
[9]卢键明,梁耀林,梁俭,孔慧超,刘英新,曾鸣.新形势下电网企业输配电固定资产投资优化配置的系统动力学仿真应用[J].水电能源科学,2017, 35(07):198-201+205.
[10]马倩,王琛,李扬,主,周磊.增量配电业务放开下电网企业投资风险分析[J].电力建设,2017, 38(09):139-144.
[11] ROCKAFELLAR R T,URYASEY S. Optimization of conditional value-at-risk[J]. The Journal of Risk, 1999, 29(1):1071-1074.
[12] Lobo M S, Boyd S. The worst-case risk of a portfolio[OL]. Technical Report, http://faculty.fuqua.kuke.edu/mlobo/bio/research/risk-bnd.pdf.,2002.
[13] El Ghaoui L, Oks M, Oustry F. Worst-case value-at-risk and robust portfolio optimization:a conic programming approach[J]. Operations Research, 2003, 51(4):543-556.
[14] Zhu S S, Fukushima M. Worst-case conditional value-at-risk with application to robust portfolio management[J]. Operations Research, 2009, 57(5):1155-1168.
[15] Huang D S, Zhu S S, Fabozzi F J, et al. Portfolio selection under distributional uncertainty:a relative robust CVaR approach[J]. European Journal of Operational Research, 2010, 203(1):185-194.
[16]张春梅,陈志平.基于CVaR的相对鲁棒投资组合问题研究[J].工程数学学报,2013, 30(04):525-534.
[17]邓创,鞠立伟,刘俊勇,谭忠富.基于模糊CVaR理论的水火电系统随机调度多目标优化模型[J].电网技术,2016, 40(5):7-16.