基于期权和日前市场的梯级水电站电力优化调度模型研究

An Optimal Scheduling Model Option-based Study of Cascade Hydropower Stations in the Day-ahead Electricity Market

梯级水电站在电力销售日前市场上为回避价格波动带来的风险,通过采取与供电商签订期权合约的办法,既可以减小因现货市场价格可能下降带来的利益受损同时又可享受现货市场价格可能上升带来的收益。本文以梯级水电站在日前市场预计发电效益最大化为目标,以水电站的技术因素和日前市场的价值风险为约束,建立数学模型,并对期权费用、执行价格与预期的现货价格及其概率之间的关系进行了分析,使用遗传算法对模型进行求解并给出了一个实际案例。

For avoiding the risk of fluctuant prices, cascade hydropower stations may take a way of entering into an option agreement with power supplier in the day-ahead electricity market. This way not only cuts down the profit losses caused by possible decrease in spot prices but also ensures the access to additional profits driven by possible increase in spot prices. This paper constructs a model in which the objective is to maximize electricity profits of cascade hydropower stations in the day-ahead electricity market. The technology factors of hydropower stations, risk at value in the day-ahead electricity market, and the relations among premium, exercise price, prospective spot price and probability are considered. Genetic algorithm is employed to solve the model.