基于期权博弈理论的发电投资决策

An Option-game Based Approach for Generation Investment Decision-making

电力工业的市场化改革为发电投资决策带来了更多的不确定因素,也引起了风险。另一方面,其他发电公司的投资策略也会对所研究的发电公司投资收益产生影响。因此,发电公司在制定将来的投资决策时,除了要考虑不确定性因素外,还需要分析其他发电公司的投资行为。基于期权博弈理论,构造了电力市场环境下发电投资决策的一种新的方法框架。在假定发电投资者进行投资决策时所面对的不确定性因素主要来自于负荷增长、同时考虑了其他发电投资者的投资行为的情况下,发展了基于期权博弈理论的发电投资的数学模型和求解方法。最后,用仿真算例说明了所提出的方法的基本特征,并在此基础上,分析了允许的发电公司报价上限对发电投资决策的影响。

In deregulated environment, a generation company will face some uncertain factors in making the investment decisions with risks are inevitable. On the other hand, the investment strategies of other generation companies could affect the investment return rate of the generation company studied. Hence, in addition to the uncertain factors, the investment strategies of other generation companies should also be taken into account when making generation investment decisions. Considering that load growth is a major source of uncertainty, a new methodological framework for generation investment decision-making based on the option-game approach is presented taking account of competition with other generation investors. A new mathematical model is proposed and a solving algorithm is developed. Finally, the essential features of the proposed method are demonstrated in a sample example. The effects of price-cap on generation investment are then examined in a quantitative way.