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有差价合约日前市场中计及风险约束的最优报价策略 被引量:19

RISK-CONSTRAINED OPTIMAL BIDDING STRATEGIES FOR GENERATION COMPANIES IN DAY-AHEAD ELECTRICITY MARKETS WITH CONTRACT FOR DIFFERENCE
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摘要 日前市场是国内外目前实际运营的以联营体为基础的单一购买者模式的电力市场所采用的最主要的形式。在有些日前市场中采用了差价合约来规避单一购买者和发电公司可能面对的由于电价波动所带来的财政风险。针对具有差价合约的日前市场,在假设市场规约要求发电公司采用线性报价函数申报下一个交易日每个时段的报价而且市场按统一清算价对每个交易时段分别进行结算的前提下,构造了发电公司在日前市场考虑风险约束的最优报价策略的数学模型,计及了发电机组的运行约束和启动成本,并发展了以遗传算法为基础的有效的求解方法。最后,用一个算例说明了所提出的方法的基本特征。 In electricity markets, generation dispatching is bid-based and hence generation companies have to compete with rivals to get the opportunity for supplying power. The pool-based market pattern with a single buyer is widely employed in the practically operating electricity markets worldwide especially at the beginning of market-based operation. In order to hedge the price risk for generation companies and the single buyer, contract for difference (CFD), as a form of financial contracts, has been employed in some operating electricity markets. In this paper, an effort is made to develop risk-constrained optimal bidding strategies for generation companies participating in a day-ahead electricity market in which CFD is enforced, under the assumption that each generation company is required to bid a linear supply function and the uniform market clearing price is employed for each trading period. The problem is formulated as a stochastic optimization model with operating constraints of generating units like ramp rates and minimum permitted startup and shutdown hours well taken into account, and solved by a genetic algorithm based method. A numerical example is finally served for demonstrating the developed model and method, and impacts of different risk aversion coefficients and CFD covering rates on profits and risks associated are analyzed and reasonable results obtained.
出处 《电力系统自动化》 EI CSCD 北大核心 2004年第4期4-9,27,共7页 Automation of Electric Power Systems
基金 国家重点基础研究专项经费资助项目(G1998020307) 香港政府研究资助局(RGC)资助项目(HKU7173/03E) 香港大学"种子"基金资助项目
关键词 电力市场 日前市场 差价合约 报价策略 风险分析 electricity market day-ahead market contract for difference bidding strategies risk analysis
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