Abstract：For spot price's volatility and demand's movement, power supplying company faces double-side risk from in electricity market transaction. To hedge risk, power-supplying company should make transaction decision considering risk measurement. Suppose electricity demand is random variable, the paper takes the conditional value-at-risk (CVaR) as risk measurement index to construct the optimal model of electricity purchase in the spot market for power-supplying company and provides the analytical solution to the model on the purpose of maximizing the CVaR value of profit. Furthermore, the effects of the penalty cost of electricity shortage and the degree of risk aversion on optimal purchase electricity is analyzed. Finally, the simulation example confirms the validity and availability of the model, and shows that the proposed model provides the power-supplying company some reference value and guiding role for purchasing decision-making.
谢品杰, 谭忠富, 王绵斌, 侯建朝. 基于CVaR的供电公司现货市场购电优化决策模型[J]. 电工技术学报, 2009, 24(4): 186-192.
Xie Pinjie, Tan Zhongfu, Wang Mianbin, Hou Jianchao. Spot Market Optimal Decision-Making Model of Purchase Electricity for Power-Supplying Company Based on CVaR Model. Transactions of China Electrotechnical Society, 2009, 24(4): 186-192.
[1] 刘亚安, 管晓宏. 考虑风险因素的两市场购电优化分配问题[J]. 电力系统自动化, 2002, 5 (10): 41-45. [2] 刘亚安, 管晓宏. 电力市场中购电商的市场分配问题研究[J]. 中国电机工程学报, 2001, 21(10): 20-23. [3] 刘亚安, 范炜, 管晓宏. 动态规划法解买电商的投资分配问题[J]. 电工技术学报, 2001, 16(3): 67-71. [4] Woo C K, Karimov R I, Horowitz I. Managing electricity procurement cost and risk by a local distri- bution company[J]. Energy Policy, 2004, 32(5): 635- 645. [5] Liu Y, Guan X H. Purchase allocation and demand bidding in electric power markets[J]. IEEE Trans. on Power systems, 2003, 18(1): 106-112. [6] 郭金, 江伟, 谭忠富. 风险条件下供电公司最优购电问题研究[J]. 电网技术, 2004, 28(11): 18-22. [7] 周明, 聂艳丽, 等. 电力市场下长期购电方案及风险评估[J]. 中国电机工程学报, 2006, 26(6): 116- 122. [8] 王绵斌, 谭忠富, 曹福成, 等. 输配分开环境下供电公司购电风险的优化控制模型[J]. 电工技术学报, 2007, 22(9): 184-190. [9] Rockafellar R T, Uryasev S. Optimization of condi- tional value-at-risk[J]. Journal of Risk, 2002, 2: 21- 42. [10] Rockafellar R T, Uryasev S. Conditional value-at-risk for general loss distributions[J]. Journal of Banking and Finance, 2002, 26: 1443-1471. [11] Chen X, Sim M, Simchi-Levi D, et al. Risk aversion in inventory management[R]. MIT, Cambridge, MA, 2003. [12] 吴翊, 吴孟达, 成礼智. 数学建模的理论与实践[M]. 北京：国防科技大学出版社, 1999.
2009, Vol. 24 
