文章摘要
谢敏,胡昕彤,柯少佳,等.基于vine-Copula的发电商运营损益动态风险VaR评估方法[J].电力系统自动化. DOI: 10.7500/AEPS20180612006.
XIE Min,HU Xintong,KE Shaojia, et al.Vine-Copula based VaR dynamic risk assessment method for GENCO[J].Automation of Electric Power Systems. DOI: 10.7500/AEPS20180612006.
基于vine-Copula的发电商运营损益动态风险VaR评估方法
Vine-Copula based VaR dynamic risk assessment method for GENCO
DOI:10.7500/AEPS20180612006
关键词: 电力市场  发电商运营损益VaR  vine-Copula  动态经济调度
KeyWords: electricity market  VaR of generator operating profit and loss  vine-Copula  dynamic economic dispatch
上网日期:2019-01-04
基金项目:国家重点基础研究发展计划(973计划),国家自然科学基金
作者单位E-mail
谢敏 华南理工大学 minxie@scut. edu.cn 
胡昕彤 华南理工大学 894685795@qq.com 
柯少佳 华南理工大学 454840356@qq.com 
程培军 华南理工大学 377839433@qq.com 
刘明波 华南理工大学 epmbliu@scut.edu.cn 
摘要:
      电力市场环境下,负荷和电价的波动、可再生电源的随机出力、网络拓扑结构的变化、系统运行方式的调整等大量不确定因素为发电商的运营收益增加了不同程度的风险。为了帮助发电商准确评估自身风险并以此制定合适的报价策略及机组发电计划,本文提出了基于vine-Copula理论的发电商损益风险价值(Value at Risk,VaR)评估模型。首先,基于交流潮流,建立了电网日前动态经济调度最优潮流模型,用以计算节点边际电价(locational marginal price, LMP);随后,引入pair-Copula理论构建了多个发电商损益函数的高维vine-Copula相依结构;最后,通过VaR的定义求出不同置信度下发电运营组合风险的VaR值。基于IEEE39节点系统的算例验证了所提模型和方法的有效性。
Abstract:
      In the power market environment, the fluctuation of load and electricity price, the random output of renewable power supply, the change of network topology, and the adjustment of the system operation mode have increased the risk for the operating income of generation companies(GENCO). In order to help GENCO accurately assess their risks and formulate appropriate bidding strategies and generating unit plans, this paper presents a pair-copula based VaR evaluation model for the profit and loss risk of GENCO. First, based on the AC power flow, the optimal dynamic economic dispatch model of power grid is established to calculate the locational marginal price (LMP). Then, the pair-copula theory is introduced to construct the high dimensional vine-Copula dependent structure of the loss functions of GENCO. Finally, the value at risk (VaR) of portfolio under different confidence levels is calculated based on its definition. The example of IEEE39-bus system is taken to verify the effectiveness of the proposed model and method.
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