多风险下风电商并网动态决策优化模型

Analysis of Dynamic Decision Optimization Model of Wind Power Supplier Based on Multi-risk

采用条件风险价值作为风险计量指标,针对风电出力及市场电价随机性的多风险特点,分析了风电发展进入优势期参与实时市场并网交易的市场结构,建立了风电商计及多风险的动态决策优化模型。该模型考虑了风电商各时段决策对后续竞拍环境的动态响应,采用序列运算理论描述市场电价的不确定性,以核密度估计方法对出力进行估计,通过调整竞价决策来获得全时段总收益最大化的目标。通过算例仿真以及与静态决策优化模型的对比,验证了该模型的有效性和实用性。

This article makes use of conditional value-at-risk（CVa R）as the risk measurements indicator,analyzes the real-time market mechanism which involved the wind power development into advantages on account of the multi-risk results from the randomization of output and market price,and establishes the dynamic decision optimization model based on risks. This model takes into consideration the dynamic response of subsequent bidding environment caused by the decision of wind power supplier with different time. By using the sequence operation theory on market price uncertainty and the kernel density estimation（KDE）method on output prediction,this model adjusts bidding decision-making to maximize the total profit on the whole period. The calculation results and comparison with static decision optimization model make a best illustration on the validity and practicability of the proposed mode.