电力市场环境下水电的优化调度和风险分析
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摘要
我国的电力市场化改革是一个长期的实践探索过程，电力市场的建设要循序渐进，根据区域电网的实际情况和相关的配套改革，不断地进行探索、丰富和调整。为贯彻国家能源政策，提高水能利用率，建设资源节约型社会，现阶段我国应积极研究和制定有利于水电可持续发展的各项政策，如市场规则、电价政策及市场配额等；同时加强水电参与市场竞价的各种研究工作，为水电进入市场竞争做好充分准备。本文主要从发电侧电力市场环境下，水电参与竞价上网的模式、优化运行方式以及综合风险分析等方面展开研究。主要研究内容包括：发电市场竞争的经济学原理；风险决策理论和风险分析方法；考虑动态辅助容量的两部制电价交易机制研究；水电参与电力市场的标准化方案研究；基于动态一致性风险度量的水电优化运行方式研究等几个方面。
首先，总结和归纳了水电竞价上网的技术和经济特性，以及国内外关于水电竞价上网的标准化方案、运行方式和风险规避的研究现状及成果，并对本文研究的意义和主要工作进行了总体概述。
其次，本文从现代经济学和管理学的角度出发，对水电参与电力市场的竞争力进行了分析，作为水电企业市场竞争力测评的概念基础和学术基础。初步介绍了电价的基本理论、经济学成本和利润概论、运筹学决策理论和金融学风险分析方法，为进一步开展发电侧电力市场和水电竞价上网的研究和实践工作奠定了基础。
第三，发电辅助服务是在电力市场中确保电网安全、稳定运行的重要手段。在总结了现行竞价上网模式对发电辅助服务的支付方式的基础上，本文提出了一种新的考虑动态辅助容量的两部制电价交易机制，动态辅助容量可根据机组所承担的发电辅助服务或具体实现的功能进行划分，相应有不同的辅助容量电价和不同的交易机制。针对动态辅助服务为备用的情况，对交易平台、定价方法、结算机制、交易流程以及对电网的安全性和经济性等问题进行了阐述。对其他发电辅助服务(AGC、无功电压支持、黑启动恢复等)的指标量化、成本分析及定价等问题进行了初探。改进的两部制电价交易机制能够对发电企业所承担的辅助服务进行合理的补偿，体现了水电的调节性能和综合效用，有利于降低购电成本和促进电力资源的优化配置。
第四，水电企业转让或购入发电权，可以避免枯水期由于来水不足引起的风险或丰水期由于弃水造成的损失，维持市场供需平衡，实现社会总体效用的最大化。本文考虑市场价格的不确定性，以条件风险价值CVaR为风险计量指标，建立了单期发电权的投标组合模型，通过协调方案利润和风险，使水电企业在获得更大收益的同时，实现对不同的风险态度和不同的市场条件变化下的电量分配优化，从而规避其他市场可能存在的风险。模型对于水电企业参与发电权交易具有一定的参考价值。
最后，本文对水电的短期和中长期优化调度问题进行了研究。由于发电量的多期投标组合是一个动态的优化问题，决策过程中常常呈现多期风险，因此，对风险的度量也应该是动态的。本文考虑风险对未来投资收益波动的长期影响，将分位数作用于静态一致性风险度量来表征多期风险的动态特征，提出了一种动态一致性风险度量，以各期CVaR的绝对偏差加权和最小为目标函数建立数学模型。该模型可同时应用于计及风险的发电量时间分解和空间分配计算，还可以进行扩展，对优化调度过程中面临的各类营销风险进行分析，以适应电价、来水、需求等不确定因素的变化。
综上所述，综合考虑水电的经济、技术等特性，制定合理的标准化方案和优化运行方式，是水电企业在竞价上网的过程中需要探索的重要问题之一。本文对水电在发电侧电力市场中的竞价上网模式、竞价交易价格结算机制、发电权交易、水电短期和中长期优化调度等问题提出了方案设计或数学模型，对相关模型进行了数学仿真并对所得结果进行了研究和分析，对于今后水电参与竞价上网具有很强的指导意义和实用价值。
The reform of the power market of our country is a perennial process of exploration. The power market should be built stage by stage. It should be explored, diversified and adjusted continuously according to the current situation and the available infrastructures. To abide by the energy policy of the state, increase the usage of hydropower and construct an economizing-resource society, it is necessary to engage us actively in studying and establishing policies in favor of the sustainable development of hydropower. Such policies may involve market rales, pricing mechanisms, and output quotas, etc. At the same time, we should mend our pace to research on the on-grid bidding of hydropower, and prepare for the forthcoming competition. This thesis focuses on the mode of on-grid bidding, the optimal operation mode, and the integrated risk analysis of hydropower. The research includs: 1) Economics theories of generation market competitions, 2) Risk decision-making theories and risk analysis methodologies, 3) Tow-part tariff system with dynamic ancillary capacities, 4) Standardized projects of hydro-accessing to the power market, 5) Application of dynamic coherent risk measure to the distribution of power generation in time and space.
Firstly, we review the technical and economic aspects of the on-grid bidding of hydropower. We also review the current status of the research on its standardized schemes, operation modes and risk evasion in domestic and overseas literatures. This thesis's meaning and the main content are summarized.
Secondly, the competitiveness of hydro-corporations' in the power market is analyzed, from a contemporary economics and management theories perspective. This provides the concept and academic base of evaluating the market competitiveness. Some theories and methods, such as pricing theory, cost and profit conspectuses of economics, decision-making theory of operations research, and risk analysis method of finance, are introduced. These methods and theories serve as cornerstones for developing the generation market and studying and actualizing hydropower competition.
Thirdly, generation ancillary services are important ways to ensure that power grids operate safely and steadily. This paper summarizes the payment means, by which generation ancillary services are paid in the current on-grid bidding mode, and proposes a novel two-part tariff system with dynamic ancillary capacities, which are classified by the units' commitments or functions. Each dynamic ancillary capacity is traded by different means and paid at a different price. The exchanging flatform, the pricing method, the settlement price mechanism, the trading flow and the security and economy for power systems, reserve ancillary service for instance, are expatiated. The index quantization, the cost analysis and the pricing of the other generation ancillary services, such as AGC, the reactive power and the black start, are surveyed. The improved two-part tariff can compensate properly the ancillary services that hydro-units take, reflect the regulative capability and the general utilization, decrease the electricity purchasing cost, and greatly facilitate the optimal deployment of electric power resources.
Fourthly, hydro-corporations can sell or purchase the generation rights to hedge against the risk of lacking inflow in dry period or discarding water in high-water period. This ensures the balance of supplies and demands in the market, and realizes the maximization of social general utilization. Taking fluctuating prices as an uncertainty and the conditional value at risk (CVaR) a risk measurement index, a combined bidding model for single-period generation rights trade is built. The model makes generators gain more by coordinating profits and risks of the bidding project, and, meanwhile, optimize generation shares in different venture attitudes or in different market conditions. Consequently risks existing in other markets are evaded. Power producers can use the proposed model as a reference for trading the generation rights.
Finally, the optimal regulations of hydropower in short time and in mid-long time are discussed in this paper. The multi-period portfolio strategy is a dynamic optimal problem, i.e., a process of decision-making with multi-period risks, whose risks should be measured by a dynamic index accordingly. This paper considers the long-term impact of risks on the fluctuation of future yields, acts the quantile on the static coherent risk measure to reflect the dynamic characteristic of multi-period risks, proposes a novel dynamic coherent risk measure, and minimizes the weighted sum of the absolute deviation of each CVaR to build a model, which can be applied to both the time and space distributions of power generation with risk constraints. The model is also extended to. analyze various marketing risks, which allows generators to adjust the change of uncertainties confronted in the course of the on-grid bidding, such as prices, inflows and demands.
In summary, hydro-corporations should consider synthetically the economic and the technical characteristic of hydropower, and make rational standardized projects and optimal operation modes, which is worth exploring during their on-grid bidding. This paper proposes project designs or mathematical models on the mode of on-grid bidding, the settlement price mechanism for auction transaction, the generation rights trade, and the optimal short-term and mid-long-term regulation of hydropower. Models are simulated and results are analyzed. The study has directive significances and practical values on hydro-corporations' accessing the power market.
首先，总结和归纳了水电竞价上网的技术和经济特性，以及国内外关于水电竞价上网的标准化方案、运行方式和风险规避的研究现状及成果，并对本文研究的意义和主要工作进行了总体概述。
其次，本文从现代经济学和管理学的角度出发，对水电参与电力市场的竞争力进行了分析，作为水电企业市场竞争力测评的概念基础和学术基础。初步介绍了电价的基本理论、经济学成本和利润概论、运筹学决策理论和金融学风险分析方法，为进一步开展发电侧电力市场和水电竞价上网的研究和实践工作奠定了基础。
第三，发电辅助服务是在电力市场中确保电网安全、稳定运行的重要手段。在总结了现行竞价上网模式对发电辅助服务的支付方式的基础上，本文提出了一种新的考虑动态辅助容量的两部制电价交易机制，动态辅助容量可根据机组所承担的发电辅助服务或具体实现的功能进行划分，相应有不同的辅助容量电价和不同的交易机制。针对动态辅助服务为备用的情况，对交易平台、定价方法、结算机制、交易流程以及对电网的安全性和经济性等问题进行了阐述。对其他发电辅助服务(AGC、无功电压支持、黑启动恢复等)的指标量化、成本分析及定价等问题进行了初探。改进的两部制电价交易机制能够对发电企业所承担的辅助服务进行合理的补偿，体现了水电的调节性能和综合效用，有利于降低购电成本和促进电力资源的优化配置。
第四，水电企业转让或购入发电权，可以避免枯水期由于来水不足引起的风险或丰水期由于弃水造成的损失，维持市场供需平衡，实现社会总体效用的最大化。本文考虑市场价格的不确定性，以条件风险价值CVaR为风险计量指标，建立了单期发电权的投标组合模型，通过协调方案利润和风险，使水电企业在获得更大收益的同时，实现对不同的风险态度和不同的市场条件变化下的电量分配优化，从而规避其他市场可能存在的风险。模型对于水电企业参与发电权交易具有一定的参考价值。
最后，本文对水电的短期和中长期优化调度问题进行了研究。由于发电量的多期投标组合是一个动态的优化问题，决策过程中常常呈现多期风险，因此，对风险的度量也应该是动态的。本文考虑风险对未来投资收益波动的长期影响，将分位数作用于静态一致性风险度量来表征多期风险的动态特征，提出了一种动态一致性风险度量，以各期CVaR的绝对偏差加权和最小为目标函数建立数学模型。该模型可同时应用于计及风险的发电量时间分解和空间分配计算，还可以进行扩展，对优化调度过程中面临的各类营销风险进行分析，以适应电价、来水、需求等不确定因素的变化。
综上所述，综合考虑水电的经济、技术等特性，制定合理的标准化方案和优化运行方式，是水电企业在竞价上网的过程中需要探索的重要问题之一。本文对水电在发电侧电力市场中的竞价上网模式、竞价交易价格结算机制、发电权交易、水电短期和中长期优化调度等问题提出了方案设计或数学模型，对相关模型进行了数学仿真并对所得结果进行了研究和分析，对于今后水电参与竞价上网具有很强的指导意义和实用价值。
The reform of the power market of our country is a perennial process of exploration. The power market should be built stage by stage. It should be explored, diversified and adjusted continuously according to the current situation and the available infrastructures. To abide by the energy policy of the state, increase the usage of hydropower and construct an economizing-resource society, it is necessary to engage us actively in studying and establishing policies in favor of the sustainable development of hydropower. Such policies may involve market rales, pricing mechanisms, and output quotas, etc. At the same time, we should mend our pace to research on the on-grid bidding of hydropower, and prepare for the forthcoming competition. This thesis focuses on the mode of on-grid bidding, the optimal operation mode, and the integrated risk analysis of hydropower. The research includs: 1) Economics theories of generation market competitions, 2) Risk decision-making theories and risk analysis methodologies, 3) Tow-part tariff system with dynamic ancillary capacities, 4) Standardized projects of hydro-accessing to the power market, 5) Application of dynamic coherent risk measure to the distribution of power generation in time and space.
Firstly, we review the technical and economic aspects of the on-grid bidding of hydropower. We also review the current status of the research on its standardized schemes, operation modes and risk evasion in domestic and overseas literatures. This thesis's meaning and the main content are summarized.
Secondly, the competitiveness of hydro-corporations' in the power market is analyzed, from a contemporary economics and management theories perspective. This provides the concept and academic base of evaluating the market competitiveness. Some theories and methods, such as pricing theory, cost and profit conspectuses of economics, decision-making theory of operations research, and risk analysis method of finance, are introduced. These methods and theories serve as cornerstones for developing the generation market and studying and actualizing hydropower competition.
Thirdly, generation ancillary services are important ways to ensure that power grids operate safely and steadily. This paper summarizes the payment means, by which generation ancillary services are paid in the current on-grid bidding mode, and proposes a novel two-part tariff system with dynamic ancillary capacities, which are classified by the units' commitments or functions. Each dynamic ancillary capacity is traded by different means and paid at a different price. The exchanging flatform, the pricing method, the settlement price mechanism, the trading flow and the security and economy for power systems, reserve ancillary service for instance, are expatiated. The index quantization, the cost analysis and the pricing of the other generation ancillary services, such as AGC, the reactive power and the black start, are surveyed. The improved two-part tariff can compensate properly the ancillary services that hydro-units take, reflect the regulative capability and the general utilization, decrease the electricity purchasing cost, and greatly facilitate the optimal deployment of electric power resources.
Fourthly, hydro-corporations can sell or purchase the generation rights to hedge against the risk of lacking inflow in dry period or discarding water in high-water period. This ensures the balance of supplies and demands in the market, and realizes the maximization of social general utilization. Taking fluctuating prices as an uncertainty and the conditional value at risk (CVaR) a risk measurement index, a combined bidding model for single-period generation rights trade is built. The model makes generators gain more by coordinating profits and risks of the bidding project, and, meanwhile, optimize generation shares in different venture attitudes or in different market conditions. Consequently risks existing in other markets are evaded. Power producers can use the proposed model as a reference for trading the generation rights.
Finally, the optimal regulations of hydropower in short time and in mid-long time are discussed in this paper. The multi-period portfolio strategy is a dynamic optimal problem, i.e., a process of decision-making with multi-period risks, whose risks should be measured by a dynamic index accordingly. This paper considers the long-term impact of risks on the fluctuation of future yields, acts the quantile on the static coherent risk measure to reflect the dynamic characteristic of multi-period risks, proposes a novel dynamic coherent risk measure, and minimizes the weighted sum of the absolute deviation of each CVaR to build a model, which can be applied to both the time and space distributions of power generation with risk constraints. The model is also extended to. analyze various marketing risks, which allows generators to adjust the change of uncertainties confronted in the course of the on-grid bidding, such as prices, inflows and demands.
In summary, hydro-corporations should consider synthetically the economic and the technical characteristic of hydropower, and make rational standardized projects and optimal operation modes, which is worth exploring during their on-grid bidding. This paper proposes project designs or mathematical models on the mode of on-grid bidding, the settlement price mechanism for auction transaction, the generation rights trade, and the optimal short-term and mid-long-term regulation of hydropower. Models are simulated and results are analyzed. The study has directive significances and practical values on hydro-corporations' accessing the power market.
引文
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