基于电力金融衍生品含独立储能的容量市场出清方法

Capacity Market Clearing Method Based on Power Financial Derivatives Including Independent Energy Storage

纯能量市场价格的剧烈波动会导致发电企业难以回收投资成本,同时收益损失风险将会降低发电企业投资新建机组的意愿。以电力金融衍生品为交易工具,提出了一种基于多代理系统的电力容量市场出清方法。首先,搭建以多代理系统为基础的容量市场架构,确保各市场参与者之间相互协调共同完成容量市场出清;然后,针对不同市场参与者分别建立以社会福利最大化为决策目标的经济调度模型,建立以风险最小化、收益最大化为决策目标的用户风险评估模型以及容量供应商风险评估模型;最后,通过调整容量市场中不同容量供应商的装机容量和金融衍生品的交易量来满足供需平衡并降低自身风险,使市场达到均衡。以某容量市场相关数据对所提出的模型进行算例仿真。计算结果表明,引入金融衍生品的容量市场出清方法可鼓励包含独立储能的容量供应商投建更多机组,从而保证了容量充裕性;但在改善不同容量供应商风险时存在非对称影响,即会使容量出清组合朝着固定投资成本低、运行成本高的峰荷机组倾斜。

The sharp fluctuation of pure energy market price will make it difficult for power generation enterprises to recover investment costs,and the risk of reward loss of revenue will reduce the willingness of power generation companies to invest in new units.Taking power financial derivatives as a trading tool,this paper proposes a clearing method for power capacity market based on multi-agent system.Firstly,a capacity market structure based on multi-agent system is built to ensure that market participants coordinate with each other to complete the capacity market clearing.Then,aiming at different market participants,an economic scheduling model with the goal of maximizing social welfare is established,and the user risk assessment model and the capacity supplier risk assessment model with the goal of risk minimization and profit maximization are established.Finally,the market can reach equilibrium by adjusting the installed capacity of different capacity suppliers and the trading volume of financial derivatives in the capacity market to meet the supply and demand balance and reduce its own risk.A simulation example is given to simulate the proposed model based on the relevant data of a certain capacity market.The calculation results show that the capacity market clearing method with financial derivatives can encourage the capacity suppliers including independent energy storage to build more units,thus ensuring the capacity adequacy.However,there is an asymmetric effect in improving the risk of different capacity suppliers,which means that the capacity clearing portfolio will be tilted towards peak-load units with low fixed investment cost and high operation cost.