基于条件风险价值的购电组合优化及风险管理

Conditional Value at Risk Based Optimization of Power Purchasing Portfolio in Multiple Electricity Markets and Risk Management

以条件风险价值为市场风险计量指标对供电公司收益?风险进行量化,建立了以收益最大化为目标的多市场购电组合优化模型。以在3个电力市场中购电为例,将上述模型转化为线性规划问题进行求解。计算结果表明,所提出的模型为供电公司的购电决策与风险评估提供了新方法,可使供电公司在满足一定风险约束的前提下具有最大购电收益。

Here, taking a new risk index based on conditional value at risk （CVaR） as the measuring index for market risk, the revenue and risk of load serving entity（LSE） is quantized and an optimal power purchasing portfolio model for multiple markets, in which the maximized revenue is the objective function, is proposed. Taking the power purchasing in three markets for example, the proposed model is transferred into linear programming problem. Calculation results show that using the proposed model the LSE can achieve maximum purchasing revenue under the restraint of a certain risk. Thereby, as a new approach the proposed model can be applied to purchasing strategy and risk evaluation of LSE.