ON THE INCREMENTS DISTRIBUTION OF STOCK PRICES

In this paper,the models of increment distributions of stock price are constructed with two approaches. The first approach is based on limit theorems of random summation. The second approach is based on the statistical analysis of the increment distribution of the logarithms of stock prices.

不确定需求下铁路集装箱班列开行方案与定价联合优化

铁路集装箱班列开行方案与运价是影响铁路集装箱运输企业盈利的两个关键因素,且这二者相互联系、相互影响,对其进行联合优化可以提升铁路集装箱运输的市场竞争力。以最大化铁路集装箱运输预期利润为目标,构建联合优化班列开行方案与定价的随机混合整数非线性规划(SMINP)模型。此模型以二项Logit模型描述托运人在铁路集装箱运输与公路集装箱运输之间的运输方式选择行为,在集装箱总运输需求概率分布形式、一阶矩与二阶矩均不确定的情形下,基于分布鲁棒优化方法将此SMINP模型转化为其确定性等价类,根据转化后模型特点进一步利用增量分段线性化以及McCormick包络法对模型线性化,使其可通过调用Gurobi求解器高效求解。以大朗至大红门铁路集装箱运输线路进行算例分析,在线路通过能力与运价可变动范围等信息已知的前提下,求得最优集装箱班列开行方案与运价。算例结果表明本文所提方法能够提升铁路集装箱运输效率与收益。

数据驱动下考虑风险规避的闭环供应链分布式鲁棒优化设计

随着可持续发展理念得到社会广泛认同,企业开始逐步关注供应链运作中资源的回收利用。为了合理规划资源,构建了以供应链总成本为目标,考虑多主体参与的闭环供应链混合整数规划模型。进一步考虑了采购价格不确定,结合分布式鲁棒优化方法,使用数据驱动模糊集模拟不确定参数的真实分布,并融入均值-CVaR方法衡量决策者的风险规避特征,通过对偶理论将模型转化为可处理的线性问题。随后在Python中调用Gurobi求解器对模型求解,结果显示分布式鲁棒优化可以较好地处理决策过程中不确定参数的影响,并且模型可以为不同决策偏好以及不同目标预算下的决策提供支持,最后通过灵敏度分析再次验证了模型的实用性。

考虑分时碳价的虚拟电厂分布鲁棒竞标方法

为了探索双碳目标下虚拟电厂(virtual power plants,VPP)低碳、经济的竞标策略,提出了一种基于分时碳价和分布鲁棒优化思想的VPP参与日前多类市场的竞标策略。从减小电力市场运营成本的角度,提出了一种与电价负相关的分时碳价,采用基准线法为VPP无偿分配碳配额,计算新能源发电的国家核证减排量;综合考虑碳交易市场、能量市场和调峰市场的情况,搭建了VPP参与多类市场的竞标模型;针对风电的不确定性,构建了基于数据驱动的分布鲁棒两阶段竞标模型,并采用列与约束生成算法求解。算例分析表明,分时碳价能够有效降低电力市场运营商的运行成本,提高VPP运营商的收益,所提的VPP竞标模型能给出不同市场的最优投标方案,而分布鲁棒能够兼顾经济性与鲁棒性。

考虑需求侧灵活性资源配置的配电网分布鲁棒优化规划方法研究

考虑需求侧灵活性资源(简称“资源”)配置,开展网-荷-储联合规划是提升配电网灵活性以适应新能源出力波动的关键途径。为此提出一种灵活性缺失场景筛选与不确定性分析方法改进相结合的配电网规划研究模型:首先,立足资源视角进行配电网灵活性供需关系建模;其次,基于影子价格理论提出配电网灵活性缺失场景筛选策略,建立筛选指标以描述规划资源、运行约束、场景筛选间闭环关系;然后,将该策略嵌入配电网-多资源两阶段联合规划模型,一阶段考虑投资成本最优,二阶段协调运行及灵活性综合成本期望;将规划模型重构并于改进场景概率驱动型分布鲁棒优化(ISPD-DRO)框架下求解,其优势在于实现了概率优化求解与场景动态更新的有机统一;最后经算例分析验证所提模型在提升决策经济性及配电网灵活性层面的优势。

考虑主从博弈定价模式的共享储能分布鲁棒优化配置方法研究

“碳达峰、碳中和”目标和新型电力系统构建促进新能源不断发展,对于储能设施提出更高需求。在此背景下,在对风电场进行储能配置时,考虑定价机制下利用共享经济模式对储能进行配置优化,并探讨计及风电出力不确定性对储能配置方案的影响。首先,基于主从博弈制定价格,提出一种以共享储能运营商为领导者,以各风电场为跟随者,并最大化各主体利润的共享储能优化配置模型;然后,针对风电出力波动,引入基于矩信息的分布鲁棒优化方法构建机会约束以描述不确定性,采用矩信息完善模糊集以降低模型保守性,通过切比雪夫不等式将各风电场模型重构为混合整数二阶锥规划模型以便求解;最后,通过中国西北地区某实际风电场数据进行算例分析,结果表明,所提优化配置模型能够减少冗余投资,促进储能参与配置并应对实际风电波动。

Jump-Dealing and Resale Price Maintenance:An Offsetting Theory and Its Policy Implications

Resale price maintenance(RPM) exerts both positive and negative influences on the market competition.Such duality and the consequent difficulties in presenting evidence have often become highly controversial issues in anti-monopoly law enforcement.We found that in reality,effects of jump-dealing and RPM can offset each other.This paper systematically proposed the offsetting theory of jump-dealing and RPM,and analyzed their policy implications for anti price monopoly,thus providing some simple principles and methods to the law enforcement against vertical price monopoly.This will not only reduce the possible "superfluous actions " in current law enforcement,but also help avoid compounded mistakes due to difficulties of enforcement.

基于分布鲁棒优化的发电商中长期合同电量分解模型

在我国中长期合同交易与现货市场衔接的政策背景下,中长期合同电量必须分解至短时间尺度。针对发电商中长期合同电量的自主分解问题,研究了发电商在现货市场价格严重不确定环境下基于分布鲁棒优化的中长期合同电量分解方法。首先,针对现货价格的严重不确定性,以Wasserstein距离作为分布函数距离测度,构建了现货价格分布不确定性的模糊集。其次,建立了发电商合同分解的分布鲁棒优化模型。以发电商利润最大化为目标,考虑发电商运行约束和合同分解约束,并采用对偶理论等将模型转化为可高效求解的二次规划问题。最后,通过算例仿真并与传统的随机优化和鲁棒优化模型进行对比。结果表明所提模型在处理现货价格不确定性时能有效兼顾发电商合同分解决策的经济性和鲁棒性。

考虑新能源消纳与储能参与调频的共享储能主从博弈鲁棒定价方法

针对大规模储能应用交易机制不明确、投资成本难回收等问题,提出了一种共享储能的定价方法,建立了一种以共享储能运营商为领导者、风电场为跟从者的考虑储能参与调频的共享储能主从博弈分布鲁棒定价模型。上层以共享储能运营商盈利最大为目标,提出储能不仅可从风电场获利,还可参与系统调频获取收益。下层以风电场收益最大为目标,建立考虑风电不确定性的两阶段风电场分布鲁棒优化模型,第一阶段最大化基础场景的售电收益,第二阶段最小化不确定场景下风电场上网偏差惩罚成本期望。基于西北地区实际风电场运行数据设计算例并进行仿真分析。结果表明:共享储能运营商合理的定价策略,不仅有利于改善新能源场站调节能力,减少弃风,还可提高储能利用率,实现博弈双方的互利共赢。

Social Energy:Mining Energy From the Society

The inherent nature of energy,i.e.,physicality,sociality and informatization,implies the inevitable and intensive interaction between energy systems and social systems.From this perspective,we define "social energy" as a complex sociotechnical system of energy systems,social systems and the derived artificial virtual systems which characterize the intense intersystem and intra-system interactions.The recent advancement in intelligent technology,including artificial intelligence and machine learning technologies,sensing and communication in Internet of Things technologies,and massive high performance computing and extreme-scale data analytics technologies,enables the possibility of substantial advancement in socio-technical system optimization,scheduling,control and management.In this paper,we provide a discussion on the nature of energy,and then propose the concept and intention of social energy systems for electrical power.A general methodology of establishing and investigating social energy is proposed,which is based on the ACP approach,i.e., "artificial systems"(A), "computational experiments"(C) and "parallel execution"(P),and parallel system methodology.A case study on the University of Denver(DU) campus grid is provided and studied to demonstrate the social energy concept.In the concluding remarks,we discuss the technical pathway,in both social and nature sciences,to social energy,and our vision on its future.

Pricing Mechanism in Power Market Construction

The reform on electricity pricing mechanism is a critical problem in power market construction in China, and is in mutual supplementation and promotion with the latter. In particular, the pricing mechanism for electricity fed into network and that for electricity transmission and distribution as well as the relationship between coal and electricity prices, etc. have to be studied in depth. This paper presents several solutions and suggestions to these problems.

A New Round of Reform in Electricity Pricing System in China

The State Council issued the Scheme for Reforming Electricity Pricing System m the second half of year 2003. It touches upon separating price of plant from that of network, sales price to network, transmission and distribution price, sales price and system principles in regard to electricity tariff mainly.

Electricity Pricing Policy Should Serve Macro-Economic Control

The National Development and Reform Commission beefed up its efforts to promote the work of electricity price reform in 2004. It took measures in aspects of easing price contradictions, tentatively implementing discriminated price and time-of-use price and issuing a policy on the linkage of coal and electricity prices and price administration. In 2005 the basic thinking of the Commission's electricity price reform is to actively advance the pilot work of price reform,carry out the reform of transmission and distribution price, enlarge the scope of pilot work of large consumer's direct purchase, simplify sales price structure and bring about the linkage of coal and electricity prices.

Distribution Locational Marginal Pricing Based Equilibrium Optimization Strategy for Data Center Park with Spatial-temporal Demand-side Resources

This paper proposes a distribution locational marginal pricing(DLMP) based bi-level Stackelberg game framework between the internet service company(ISC) and distribution system operator(DSO) in the data center park. To minimize electricity costs, the ISC at the upper level dispatches the interactive workloads(IWs) across different data center buildings spatially and schedules the battery energy storage system temporally in response to DLMP. Photovoltaic generation and static var generation provide extra active and reactive power. At the lower level, DSO calculates the DLMP by minimizing the total electricity cost under the two-part tariff policy and ensures that the distribution network is uncongested and bus voltage is within the limit. The equilibrium solution is obtained by converting the bi-level optimization into a single-level mixed-integer second-order cone programming optimization using the strong duality theorem and the binary expansion method. Case studies verify that the proposed method benefits both the DSO and ISC while preserving the privacy of the ISC. By taking into account the uncertainties in IWs and photovoltaic generation, the flexibility of distribution networks is enhanced, which further facilitates the accommodation of more demand-side resources.

Transactive Energy Systems in Active Distribution Networks:A Comprehensive Review

Increasing penetration of distributed energy resources(DERs)introduced by different stakeholders,poses an immense challenge to power network operators.The traditional direct control of local DERs has the risk of violating preferences and privacies of stakeholders.A promising solution for supplydemand coordination is to utilize a transactive energy(TE)based energy management method to indirectly coordinate the local DERs,which enables the distribution-level energy providers,consumers,and prosumers to trade energy with each other through a transactive energy system(TES)trading platform.This paper provides a comprehensive review of a TES and presents a detailed classification from different perspectives,including TES participants,structure,commodity,clearing method,and solution algorithm.The presented detailed component-scale classification can be used as a reference for future TES designs.Finally,two additional market tools,i.e.,penalty mechanism and loss allocation mechanism,are discussed as future focus areas,which can be seen as necessary complements to a TES for ensuring feasibility and fairness of energy trading.

Calculation Model and Allocation Strategy of Network Usage Charge for Peer-to-peer and Community-based Energy Transaction Market

The emergence of prosumers in distribution systems has enabled competitive electricity markets to transition from traditional hierarchical structures to more decentralized models such as peer-to-peer(P2P)and community-based(CB)energy transaction markets.However,the network usage charge(NUC)that prosumers pay to the electric power utility for network services is not adjusted to suit these energy transactions,which causes a reduction in revenue streams of the utility.In this study,we propose an NUC calculation method for P2P and CB transactions to address holistically economic and technical issues in transactive energy markets and distribution system operations,respectively.Based on the Nash bargaining(NB)theory,we formulate an NB problem for P2P and CB transactions to solve the conflicts of interest among prosumers,where the problem is further decomposed into two convex subproblems of social welfare maximization and payment bargaining.We then build the NUC calculation model by coupling the NB model and AC optimal power flow model.We also employ the Shapley value to allocate the NUC to consumers fairly for the NUC model of CB transactions.Finally,numerical studies on IEEE 15-bus and 123-bus distribution systems demonstrate the effectiveness of the proposed NUC calculation method for P2P and CB transactions.