直购电环境下电网公司风险控制优化模型及算法研究

Research on Optimization Models With Risk Control for Power Grid Companies Under Direct Electricity Purchasing Environment and the Numerical Method

随着直购电的出现,电网公司(PGC)在发电侧电力市场"单一购买者"的垄断局面被打破,直购电所引起的风险接踵而至.通过分析直购电所导致电网公司可能面临的潜在风险,建立了直购电环境下电网公司效用.函数最大化和风险最小的多目标风险控制组合优化模型,针对CVaR,风险函数在数值计算上的困难,提出了基于罚函数的光滑化样本平均值算法,并用Matlab编程实现了具体问题的求解,数值结果能够有效的反映出在直购电过程中电网公司所面临的市场风险本质,从而验证了模型的有效性.

With the emergence of the direct electricity purchasing, the ＂single purchaser＂ monopoly situation for the power grid corporation （PGC） in the generation producers of the electric power market was broken, and new risks were caused by the direct purchase of electricity. By analyzing the potential risks caused by the direct purchase of electricity, we establish the risk control portfolio model which aims for maximizing the utility function and minimizing the risk. We use sample average approximation method and smoothing method to deal with the difficulty in calculating the CVaR. Numerical results are given and they effectively reflect the market risks which are essentially faced 5y the PGC in the process of direct purchase of electricity and verify the validity of our model.