构造供电公司最优电能分配策略的CVaR方法

Optimal Energy Allocation Strategy for Distribution Companies Based on CVaR Risk Measurement Techniques

在输配分开电力市场中,供电公司将被从垄断的电力工业运营体制中解捆,从而作为独立的市场竞争主体参与竞价购电。为了满足终端用户电能需求和系统备用需要,供电公司需要综合考虑在长期合同市场、日前现货市场、备用容量市场以及自备电厂的电能分配。借鉴金融领域的风险管理理论,以条件风险价值(CVaR)作为风险度量指标,综合考虑风险和期望利润水平,建立了供电公司均值-CVaR电能分配策略模型。算例仿真结果表明,给出的模型能够比较真实地反映供电公司决策时所面临的市场风险的本质特征,可使供电公司在保证一定利润水平的前提下实现CVaR风险最小化。

In competitive transmission and distribution separated electricity markets, distribution companies will be deregulated from the traditional monopoly power industry and take part in market competition as an independent market participant. In order to satisfy the load demand of end-customers and the reserve demand of the system, it is the duty of distribution companies to allocate energy in long-term contract market, dayhead market, reserve market and self-contained power plant. Using the risk management theory in financial research field, taking the conditional value at risk（CVaR）as risk management index, a Mean-CVaR optimal energy allocation model is built for distribution companies by synthetically considering the risk and expected profit. The simulation result shows that the proposed model can truly reflect the essential characteristics of the market risks facing the distribution companies and guarantee the distribution companies to obtain the expected profit at the minimum CVaR risk level.