文章摘要
张钦,王锡凡,王建学.需求侧实时电价下供电商购售电风险决策[J].电力系统自动化,2010,34(3):22-27. DOI: .
ZHANG Qin, WANG Xifan, WANG Jianxue.Electricity Purchasing and Selling Risk Decision for Power Supplier Under Real-time Pricing[J].Automation of Electric Power Systems,2010,34(3):22-27. DOI: .
需求侧实时电价下供电商购售电风险决策
Electricity Purchasing and Selling Risk Decision for Power Supplier Under Real-time Pricing
DOI:
关键词: 电力市场  需求响应  实时电价  风险管理  双边合同  套期保值合同
KeyWords: electricity market  demand response  real-time pricing  risk management  bilateral contract  hedge contract
上网日期:2010-02-03
基金项目:国家重点基础研究发展计划(“973计划”)
作者单位
张钦,王锡凡,王建学 西安交通大学电气工程学院陕西省西安市 710049 
摘要:
      实施需求侧实时电价(RTP)让供电商可以将电价风险有效地转移给用户,但供电商提供给用户的RTP套期保值合同也给其购售电风险管理带来了新的挑战。文中对RTP下供电商在购售电市场的成本、收入与风险进行了综合分析。购电侧重点考虑了日前市场和普通/分段双边合同,售电侧考虑了基本RTP合同与各类RTP套期保值合同。基于条件风险价值(CVaR)法,以供电商购售电效用最大化为目标,建立了不同风险喜好供电商的最优购电组合决策模型。算例仿真验证了所述方法的有效性,它有利于供电商协调RTP下购售电交易的利润与风险。
Abstract:
      Implementing demand side real-time pricing(RTP) effectively transfers the wholesale market price risk from power supplier to its customers. However, RTP hedging contracts create new challenges to electricity purchasing and selling of risk management for power supplier. The cost of electricity purchasing, the revenue of electricity selling and transaction risk are analyzed comprehensively. Day-ahead market and normal/block bilateral contracts are considered in electricity purchasing transaction, while basic RTP contract and various types of RTP hedge contracts are considered in electricity selling transaction. Furthermore, based on CVaR methodology, a decision model whose object is maximizing power supplier's utilities of electricity purchasing and selling is introduced. Optimal purchasing portfolios for different risk-preference power suppliers can be obtained by solving the model. Numerical results are finally used to prove the effectiveness of the proposed model, which is beneficial to power suppliers in coordinating the profits and risk of electricity transactions under RTP.
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