电力市场环境下的发电商策略与风险
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摘要
从1983年智利电力市场的改革算起,电力市场改革已经蓬勃开展了25年。在世界各国,电力市场改革大多始于对发电侧的放松管制,因此发电商通常率先成为独立决策、经营和核算的市场主体。加州电力市场在2000-2001年的危机使得电力企业风险管理问题得到了广泛的关注。
在引入风险管理之后,发电商决策由一个单目标的利润最大化问题变成了一个双目标的利润最大化/风险最小化问题。双目标优化问题在2维坐标上表示为一条曲线段,被称为帕累托前沿。如何在这条线段上确定最优解取决于风险和收益之间权衡,也就是取决于发电商的风险厌恶程度。本文的第二章通过引入金融学的方法构建了一个发电商组合交易模型。
第二章的模型理论基础扎实、计算快速,但也存在着若干局限性。一是风险厌恶程度难以确定;二是没有考虑电力系统特殊的技术性和结构性约束,这使得有些情况下模型求得的最优组合在实际中不能达到。针对这些问题,作者研究各种实际约束下的发电商组合交易策略有效前沿特征及其求解算法。这就是本文的第三章的主要内容。
如果按照时序,发电商的在电力市场中的整个决策过程可分为3个阶段,分别是投资决策,组合交易决策和投标竞价决策。第二章和第三章侧重于组合交易决策,第四章、第五章则分别与投标竞价决策和投资决策关系更密切。对于投标竞价决策,不同的出清模式和定价方法直接关系到收益和风险,因此也影响到发电商的最优策略。第四章研究了市场优化问题的对偶规划存在多解情况下的定价问题。对于发电投资决策,则不仅取决于现货市场交易模式,也与发电容量交易模式有密切的关系。因此第五章对世界各国的发电容量方法交易模式作了全面的分析和探讨。
在第二章到第五章的讨论中,几乎没有涉及管制的问题。然而世界各国电力市场普遍配备管制措施,原因是电力市场是一个接近于寡头垄断的市场。由于电力寡头握有市场力,因此如果没有管制措施,电力寡头具有很强的利益动机行使市场力,影响出清价格,获得更高收益。在需求侧响应不足,需求弹性较低,需求方没有定价权的情况下,大发电商使用市场力的倾向更为强烈。尽管管制措施干预了电力市场的自然/自由供求变化,但对于提高电力市场/电力系统的运行稳定性是有所帮助的。第六章将介绍北美电力市场运行中使用的一套市场力管制方法,它包括对市场势力、参与者行为、可能影响等几个方面的检测和控制。
Since Chile became the first country deregulating its electric power industry in 1983, the worldwide electricity market reform has taken place for almost twenty-five years. Most power industries in the world started their reforms from the deregulation of the supply side. Therefore, generation companies usually became the first group of entities who manage their operation, accounting and decision-making independently. Initially generation companies' objective is only to maximize their profit, however, the crisis of California electricity market in 2000 and 2001 arouse great attention to the problem of risk management for electric power corporations.
After introducing the risk management, the decision-making of generation companies shifts from a single-objective optimization to a bi-objective optimization. The first objective is maximizing expected profit while the second objective is minimizing the associated risks. The solution of a bi-objective optimization is a curve, namely the Pareto Frontier on a two-dimensional coordinates if regarding the two objectives as the two axes. The location of the solution on the frontier therefore depends on the trade-off between the two objectives, the return and the risk, in other words, depends on risk aversion degree of generating companies. The second chapter constructs a model for this problem by introducing the methods in financial theory.
The model in the second chapter has a found basis and fast computation speed, but it also has several limitations. The fist is the difficulty in deciding the risk aversion degree. The second limitation is the neglecting of several important technical and institutional constraints in power industry, which could make the model solution unachievable in practice. In response to these limitations, an efficient frontier model with the practical constraints integrated has been proposed in chapter three.
The decision-making process of generating companies can be divided in three stages, the strategic investment decision, the multi-trading decision and the strategic bidding decision. In this aspect, Chapter 2 and Chapter 3 focus on the multi-trading decision, while Chapter 4 and Chapter 5 conduct the strategic bidding decision and investment decision, respectively. For the strategic bidding decision, different clearing/dispatch modes and price-setting methods will directly affects generating companies' returns and risks, and therefore the optimal strategies. Chapter 4 focuses on the analysis of the price-setting problem when dual programming has multiple solutions. For the strategic investment decision, it not only depends on the spot market rules, but also depends on the installed capacity trading rules. Chapter 5 conducts a worldwide summary and discussion for the long-term recourse adequacy ensuring methods.
The regulation factor has not been normatively incorporated in the models and analysis in the above four chapters. However, the electricity markets in the world almost all have certain patterns of regulation. The reason is electricity market is close to an oligopoly type of markets. Because of the market power in some of the large participants, they have strong motivation to excise their market power and affect the equilibrium price, in order to get a higher than competitive profit. The incentives of excising market power will be strengthened by some other technical features such as inadequate demand-side response. Therefore, regulation measures will be helpful for the operation stability and risk-reduction of electricity markets, although they interfere with the natural supply-demand equilibrium more or less. Chapter 6 discusses the market power mitigation mechanism in North America, which includes the detection and control for market structure, participant behavior and its possible effects.
在引入风险管理之后,发电商决策由一个单目标的利润最大化问题变成了一个双目标的利润最大化/风险最小化问题。双目标优化问题在2维坐标上表示为一条曲线段,被称为帕累托前沿。如何在这条线段上确定最优解取决于风险和收益之间权衡,也就是取决于发电商的风险厌恶程度。本文的第二章通过引入金融学的方法构建了一个发电商组合交易模型。
第二章的模型理论基础扎实、计算快速,但也存在着若干局限性。一是风险厌恶程度难以确定;二是没有考虑电力系统特殊的技术性和结构性约束,这使得有些情况下模型求得的最优组合在实际中不能达到。针对这些问题,作者研究各种实际约束下的发电商组合交易策略有效前沿特征及其求解算法。这就是本文的第三章的主要内容。
如果按照时序,发电商的在电力市场中的整个决策过程可分为3个阶段,分别是投资决策,组合交易决策和投标竞价决策。第二章和第三章侧重于组合交易决策,第四章、第五章则分别与投标竞价决策和投资决策关系更密切。对于投标竞价决策,不同的出清模式和定价方法直接关系到收益和风险,因此也影响到发电商的最优策略。第四章研究了市场优化问题的对偶规划存在多解情况下的定价问题。对于发电投资决策,则不仅取决于现货市场交易模式,也与发电容量交易模式有密切的关系。因此第五章对世界各国的发电容量方法交易模式作了全面的分析和探讨。
在第二章到第五章的讨论中,几乎没有涉及管制的问题。然而世界各国电力市场普遍配备管制措施,原因是电力市场是一个接近于寡头垄断的市场。由于电力寡头握有市场力,因此如果没有管制措施,电力寡头具有很强的利益动机行使市场力,影响出清价格,获得更高收益。在需求侧响应不足,需求弹性较低,需求方没有定价权的情况下,大发电商使用市场力的倾向更为强烈。尽管管制措施干预了电力市场的自然/自由供求变化,但对于提高电力市场/电力系统的运行稳定性是有所帮助的。第六章将介绍北美电力市场运行中使用的一套市场力管制方法,它包括对市场势力、参与者行为、可能影响等几个方面的检测和控制。
Since Chile became the first country deregulating its electric power industry in 1983, the worldwide electricity market reform has taken place for almost twenty-five years. Most power industries in the world started their reforms from the deregulation of the supply side. Therefore, generation companies usually became the first group of entities who manage their operation, accounting and decision-making independently. Initially generation companies' objective is only to maximize their profit, however, the crisis of California electricity market in 2000 and 2001 arouse great attention to the problem of risk management for electric power corporations.
After introducing the risk management, the decision-making of generation companies shifts from a single-objective optimization to a bi-objective optimization. The first objective is maximizing expected profit while the second objective is minimizing the associated risks. The solution of a bi-objective optimization is a curve, namely the Pareto Frontier on a two-dimensional coordinates if regarding the two objectives as the two axes. The location of the solution on the frontier therefore depends on the trade-off between the two objectives, the return and the risk, in other words, depends on risk aversion degree of generating companies. The second chapter constructs a model for this problem by introducing the methods in financial theory.
The model in the second chapter has a found basis and fast computation speed, but it also has several limitations. The fist is the difficulty in deciding the risk aversion degree. The second limitation is the neglecting of several important technical and institutional constraints in power industry, which could make the model solution unachievable in practice. In response to these limitations, an efficient frontier model with the practical constraints integrated has been proposed in chapter three.
The decision-making process of generating companies can be divided in three stages, the strategic investment decision, the multi-trading decision and the strategic bidding decision. In this aspect, Chapter 2 and Chapter 3 focus on the multi-trading decision, while Chapter 4 and Chapter 5 conduct the strategic bidding decision and investment decision, respectively. For the strategic bidding decision, different clearing/dispatch modes and price-setting methods will directly affects generating companies' returns and risks, and therefore the optimal strategies. Chapter 4 focuses on the analysis of the price-setting problem when dual programming has multiple solutions. For the strategic investment decision, it not only depends on the spot market rules, but also depends on the installed capacity trading rules. Chapter 5 conducts a worldwide summary and discussion for the long-term recourse adequacy ensuring methods.
The regulation factor has not been normatively incorporated in the models and analysis in the above four chapters. However, the electricity markets in the world almost all have certain patterns of regulation. The reason is electricity market is close to an oligopoly type of markets. Because of the market power in some of the large participants, they have strong motivation to excise their market power and affect the equilibrium price, in order to get a higher than competitive profit. The incentives of excising market power will be strengthened by some other technical features such as inadequate demand-side response. Therefore, regulation measures will be helpful for the operation stability and risk-reduction of electricity markets, although they interfere with the natural supply-demand equilibrium more or less. Chapter 6 discusses the market power mitigation mechanism in North America, which includes the detection and control for market structure, participant behavior and its possible effects.
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