基于多元GARCH-VaR的水电站短期发电风险调度

Short-term Power Generation Risk Dispatching of Hydropower Stations Based on Multivariate GARCH-VaR

发电风险调度是电力市场下水电企业风险规避及管理的一种方式。基于VaR风险测量理论,在水电站短期优化调度中考虑电价风险,提出了更易理解、更具有可操作性的风险收入指标,并将GARCH-VaR电价风险测量模型与水电站短期优化调度模型有机耦合,建立了多元的GARCH-VaR发电风险调度模型。通过实例分析得到两种极端风险调度下的出力组合方案,同时还可以根据不同的风险水平和收入期望设置风险收入限额,得到同一风险下的最优组合解,为水电站参与市场竞争、短期发电风险管控提供了决策依据。

Power generation risk dispatching is a feasible way for risk aversion and management of hydropower enter- prises in electricity market. Based on VaR risk measurement theory, considering the electricity price risk in short-term optimal scheduling of hydropower station, this paper put forward more understandable and more operational risk income index. And then the GARCH-VaR price risk measurement model was integrated into short-term optimal scheduling mod- el of hydropower station. Power generation risk dispatching model of multiple GARCH-VaR was established. By the case analysis, this paper obtained the output combination scheme under two kinds of extreme risk operations. The optimal so- lution under the same risk could be obtained by setting the risk income limit according to the different levels of risk and expected income, which provide decision basis for hydropower station to participate in the market competition and short- term generation risk management.