大用户控制购电成本风险的均值–熵权组合优化模型

An Expectation-Entropy Portfolio Model to Control Electricity Purchasing Cost Risk for Large Consumers Direct Power Purchase

大用户直购电是电力大用户和发电公司直接进行双边交易的一种购电模式,其主要目标是购电成本最小化,因此需要从现货市场、长期合约市场和期权市场中进行组合优化购电,从而控制购电成本风险。考虑到风险具有不确定性,引入连续信息熵作为大用户购电组合风险度量因子,以风险最小化为控制目标,基于投资组合理论,构建大用户在3个交易市场中的购电组合优化模型,并采用Matlab编程进行求解。算例结果表明,文中的熵权组合模型具有合理性,可为确定大用户购电决策提供参考,同时也说明期权市场可以有效减少大用户的购电风险,期权价格和敲定价格对大用户购电决策的影响较大。

Large consumer direct power purchase is such a mode by which large power consumers and gencos carry out direct bilateral transactions, and its major objective is to minimize power purchasing cost under current electricity market mode in China, therefore it is necessary for them to purchase electricity from the optimal combination of the spot market, the long-term contract market and option market to control power purchasing cost risk. Considering the uncertainty of risk, the continuous information entropy is adopted as measuring factor for large consumer power purchasing combination, the risk minimization is the control objective and based on the theory of investment portfolio an optimal entropy portfolio model for large consumers in three markets is built and solved by Matlab. Calculation results show that the proposed entropy portfolio model is reasonable and is available for reference in the decision-making of large consumer power purchasing, meanwhile, it also show that the option market can reduce power purchasing risk of large consumers effectively, and option price and strike price greatly impact the decision-making of large consumer power purchasing.