摘要
一个开放的电力市场,通常在售电侧存在着类似于期货交易的长期市场和类似于现货交易的短期市场的结构,供电公司通常要在两个市场中进行购电以满足用户的需求,但两市场的购电价格和风险是不相同的。因此,目前供电公司急待解决的问题就是如何寻找到在两个市场中最优的购电组合,从而使自己的收益最大而风险最低。作者根据投资风险理论中的Markowitz理论建立了双目标数学模型,采用K-T条件对其进行求解,得出了该问题的解析解,并对其进行了算例仿真。
At the selling side of an open electricity market in general there are two kind of market structures, i.e., one is a long term market structure similar to the forward trading and the another is a short term market structure similar to the spot transaction. The power suppliers purchase power in these two markets to meet the need from consumers, but the electricity prices in these two markets are not same. Therefore, at present for power suppliers the problem to be settled urgently is that how to find the optimal combination of power purchasing in the two markets to obtain the highest profits and to decrease the risk to the lowest level. According to the Markovitz theory for the investment risk a mathematical model with two objects is established and solved by K-T stipulation and the analytical solution is obtained. A simulation for the actual market data is carried out.
出处
《电网技术》
EI
CSCD
北大核心
2004年第11期18-22,共5页
Power System Technology
基金
国家自然科学基金(70373017)