电力市场环境下发电企业报价风险管理分析
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摘要
本文首先综述了国内外电力市场改革状况,并介绍了发电企业报价风险研究现状,进而对发电企业报价风险研究的背景知识进行了概述,并在此基础上提出本文研究的前提假设。其次,在对风险和风险管理相关理论研究的基础上,阐述报价风险产生原因,并利用Crystal Ball提出了基于改进Monte Carlo模拟的VaR和CVaR报价风险评价方法。再次,用一个实验案例诠释发电企业报价风险评估过程,比较了VaR和CVaR风险评价结果,对风险因素进行敏感性分析,且在一定风险约束条件下基于优化理论利用Crystall Ball的OptQuest工具求解出最优的报价,并提出短期内降低报价风险的对策。然后,提出发电企业长期内规避报价风险的策略。最后是本文的结论部分。
Firstly, this paper summarizes the situation of electricity market reforms at home and abroad, and introduces the research status of bidding risk for power generation companies, thereby, relative background theories of generation enterprise bidding risk are discussed, and on the basis of the theories, the hypotheses of this study are proposed. Secondly, based on relative theories of risk and risk management, this paper expounds the reasons of bidding risk for generation companies, and based on Crystal Ball, this paper proposes VaR and CVaR bidding risk evaluation methods with improved Monte Carlo simulation. Then, an experiment example is utilized to illustrate the bidding risk evaluation process, and the evaluation results of VaR and CVaR are compared. Sensitivity analysis is carried on for risk factors, and based on optimization theory and under certain risk constrains, the best offer price is obtained through Crystal Ball OptQuest tool, and countermeasures to lower the bidding risk of short-term are proposed. Then, strategies to evade bidding risk in the long-term are proposed. Finally, there are the conclusions of this paper.
Firstly, this paper summarizes the situation of electricity market reforms at home and abroad, and introduces the research status of bidding risk for power generation companies, thereby, relative background theories of generation enterprise bidding risk are discussed, and on the basis of the theories, the hypotheses of this study are proposed. Secondly, based on relative theories of risk and risk management, this paper expounds the reasons of bidding risk for generation companies, and based on Crystal Ball, this paper proposes VaR and CVaR bidding risk evaluation methods with improved Monte Carlo simulation. Then, an experiment example is utilized to illustrate the bidding risk evaluation process, and the evaluation results of VaR and CVaR are compared. Sensitivity analysis is carried on for risk factors, and based on optimization theory and under certain risk constrains, the best offer price is obtained through Crystal Ball OptQuest tool, and countermeasures to lower the bidding risk of short-term are proposed. Then, strategies to evade bidding risk in the long-term are proposed. Finally, there are the conclusions of this paper.
引文
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[15] Qialin Ding,Jing Tang,Jianxin Liu.A new optimal bidding strategy based on aversion attitude of power market suppliers. The 7th International Power Engineering Conference,2005,11:1111~1115
[16] 贺媛媛.基于支持向量机的电力系统短期负荷预测模型研究:[硕士学位论文].大连:大连理工大学,2006
[17] 王壬,尚金成,等.基于 CVaR 风险计量指标的发电商投标组和策略及模型.电力系统自动化,2005,29(14):5~9
[18] Min Liu, Felix F.Wu.Managing price risk in a multi-market environment. IEEE transactions on power system,2006,1512~1519
[19] Ernan Ni,Peter B.Luh.Optimal integrated generation bidding and scheduling with risk management under a deregulated daily power market.IEEE transactions on power system,2004,600~609
[20] Jing Tang, Jianxin Lin, Qiaolin Ding, et al.A new optimal bidding strategy in power market. 2005 IEEE/PES Transmission and Distribution Conference & Exhibition: Asia and Pacific,2005,1~5
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[23] 文福拴,David A K.电力市场中的投标策略.电力系统自动化,2000,24(14):1~6
[24] 曾次玲,张步涵.浅析发电公司的竞价策略.电网技术,2002,26(5):49~53
[25] Otero-Novas I., Meseguer C., Batlle C., et al. A Simulation model for a competitive generation market. IEEE Trans on Power Systems,2000,15(2):250~256
[26] Wen Fushuan, David A.K. Optimal Bidding Strategies and Modeling of Imperfect Information Among Competitive Generations. IEEE Transactions on Power Systems, 2001,16(1):15~22
[27] 雷兵,王秀丽,高瑛,等.独立发电商在日前市场的竞价策略分析.电力系统自动化,2002,26(24):8~13
[28] 杨莉,文福拴,吴复立,等.基于可能性理论的发电公司最优报价策略.电力系统自动化,2002,26(23):12~16
[29] 于尔铿,周京阳,张学松.电力市场竞价模型与原理.电力系统自动化,2001,25(1):24~27
[30] Zhang Daoyuan, Wang Yajun. Optimization Based Bidding Strategies in the Deregulated Market.IEEE Trans on Power Systems,2000,15(3):981~986
[31] Hao Shangyou . A Study of Basic Bidding Strategy in Clearing Pricing Auctions.IEEE Trans on Power Systems,2000,15(2):975~981
[32] 杨莉,邱家驹,等.基于 BP 网络的下一交易日无约束市场清算价格预测模型.电力系统自动化,2001,25(19):11~13
[33] Wang A.,Ramsay B.Prediction of System Marginal Price in the U K Power Pool Using Neural Networks.International Conference on Neural Networks,Houston (USA):1997,2116~2120
[34] 李彩华,郭志忠,王志伟.混合式短期边际电价预测模型.电力系统自动化,2002,26(21):29~33
[35] 杨洪明,段献忠.电价的混沌特性分析及其预测模型研究.电网技术,2004,28(3): 59~65
[36] 贺辉.电力市场下辅助服务的研究:[硕士学位论文].湖南:湖南大学,2001
[37] 尚金成,黄永皓,夏清,等.电力市场理论研究与应用.北京:中国电力出版社,2002
[38] 杨少巍.独立发电商辅助报价系统研究:[硕士学位论文].北京:华北电力大学,2001
[39] Singh H, Hao S, Papalexopoulos A. Power Auctions and Network Constraints.Proceedings of the 30th Hwaii International Conference on System Sciences,1997:608~614
[40] Visudhiphan P.,Ilic M.D.Dynamic Games-Based Modeling of Electricity Markets.Proceedings of IEEE Power Engineering Society 1999 Winter Meeting,1999,274~281
[41] Rahimi F.A.,Vojdani A.Meet the Emerging Transmission Market Segments.IEEE Computer Application in Power,1999,12(1):26~32
[42] Johnson R.,Oren S.O.,Svoboda A.J.Equity and Efficiency of Unit Commitment in Competitive Electricity Markets.Utility Policy,1997,6(1):12~18
[43] David A . K . Competitive Bidding in Electricity Supply . IEE Proceedings-Generation, Transmission-Distribution,1993,140(5):421~426
[44] Gross G.,Finlay D.J.Optimal Bidding Strategies in Competitive Electricity Markets. Proceedings of 12th Power Systems Computation Conference (PSCC'96),1996
[45] 尚金成,黄永皓.电力市场技术支持系统设计与关键技术研究.北京:中国电力出版社,2002
[46] 张粒子,郑华.区域电力市场竞价机制研究.北京:中国电力出版社,2004
[47] 魏 平 , 李 均 利 , 陈 刚 .MCP 预 测 技 术 在 浙 江 电 力 市 场 中 的 应 用 . 继 电器,2004,32(11):58~61
[48] 刘正国,付祥明,高伏英.基于神经网络的浙江发电市场清算电价预测方法.电力系统自动化,2002,26(9):49~52
[49] 杨朴,游大海,谢培元.基于遗传算法和神经网络的电价预测.水电能源科学,2003, 2(21):64~86
[50] Bunn , D . W . Forecasting loads and prices in competitive power markets.Proceedings of the IEEE,2000,88(2):163~169
[51] Wen Fushuan,David A.K.Optimal bidding strategies and modeling of imperfect information among competitive generators.IEEE Transaction on Power Systems, 2001,16(1):15~21
[52] 马新顺,文福拴,倪以信,等.计及风险的发电公司的最优报价策略.电力系统自动化,2003,27(20):16~20
[53] David A.K.Competitive bidding in electricity supply. IEE Proceedings Generation, Transmission & Distribution,1993,140(5):421~426
[54] Widjaja M,Sugianto L.F.,Morrison,R.E.Fuzzy model of generator bidding system in competitive electricity markets. The 10th IEEE International Conference on Fuzzy Systems,2001,1396~1399
[55] Hao S.A study of basic bidding strategy in clearing pricing auctions.IEEE Trans on Power Systems,2000,15(3):975~980
[56] 刁勤华,林济铿,倪以信,等.博弈在电力市场中的应用.电力系统自动化,2001,25(2):13~18
[57] 尚金成,黄永皓,张维存,等.一种基于博弈论的发电商竞价策略模型与算法.电力系统自动化,2002,26(9):12~15
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