计及风险并考虑差价合约的发电公司报价策略研究

Development of risk-constrained optimal bidding straegies for generation companies in electricity markets with contract for difference

针对有差价合约存在的电力市场,研究了具有不完全信息的发电公司最优报价策略问题。在假设竞争对手的报价策略服从已知概率分布条件下,构造了计及风险并考虑差价合约的发电公司报价策略的随机优化模型,并给出了有效的求解方法。最后,以有6个发电公司参与的电力市场为算例,说明所提出方法的基本特征,并讨论了差价合约电量、发电公司风险规避程度等因素对最优报价策略的影响。

The focus of this paper is on the development of risk-constrained optimal bidding strategies for generation companies participating in an electricity market where the linear bidding functions and Contract for Difference (CFD) are utilized. Upon given the rivals' bidding probability distribution functions in the competitive conditions with imperfect information, the problem is formulated as a stochastie optimization model and solved by an efficient optimization-based method. A numerical example with six companies participating in this market is used to illustrate the methodological features, and some of the sensitivity analyses are discussed.