基于合作博弈的综合能源服务商现货市场风险规避策略

doi:10.11930/j.issn.1004-9649.201903025

中国电力 ›› 2019, Vol. 52 ›› Issue (11): 28-34.DOI: 10.11930/j.issn.1004-9649.201903025

• 分布式能源系统与综合需求响应互动机制关键技术 • 上一篇下一篇

基于合作博弈的综合能源服务商现货市场风险规避策略

郭祚刚¹, 喻磊¹, 胡洋¹, 周长城¹, 雷金勇¹, 何帅², 刘念²

1. 南方电网科学研究院, 广东广州 510663;
2. 新能源电力系统国家重点实验室 (华北电力大学), 北京 102206

收稿日期:2019-03-19 修回日期:2019-06-03 出版日期:2019-11-05 发布日期:2019-11-05
作者简介:郭祚刚(1985-),男,博士,高级工程师,从事新能源及综合能源研究,E-mail:guozg@csg.cn
基金资助:
南方电网公司科技项目（ZBKJXM20180209）

Research on Competition Strategy of Integrated Energy Service Provider under the Pool-based Market Mechanism

GUO Zuogang¹, YU Lei¹, HU Yang¹, ZHOU Changcheng¹, LEI Jinyong¹, HE Shuai², LIU Nian²

1. Electric Power Research Institute of CSG, Guangzhou 510663, China;
2. State Key Laboratory of Alternate Electrical Power System with Renewable Energy Sources, North China Electric Power University, Beijing 102206, China

Received:2019-03-19 Revised:2019-06-03 Online:2019-11-05 Published:2019-11-05
Supported by:
This work is supported by the Science & Technology Project of China Southern Power Grid (No. ZBKJXM20180209)

摘要/Abstract

摘要： 随着多能耦合的加强和能源改革的推进，综合能源市场逐步建立，其中综合能源现货市场的剧烈价格波动给综合能源服务商带来了较大的风险。针对该问题提出了一种基于合作博弈的综合能源服务商现货市场风险规避策略，首先建立了基于风险价值理论的现货市场交易风险评估模型，其次通过建立综合能源服务商间的合作联盟，降低整体联盟的现货市场交易风险，最后采用Shapley值法对联盟中的成员进行风险分摊，并提出一个该风险分摊结果的交易规则。算例结果表明，综合能源服务商通过结成联盟，可以有效降低其参与现货市场的风险，基于Shapley值的风险分摊方法保证了分配的公平和联盟的稳定，验证了该模型的有效性和可行性。

关键词: 综合能源现货市场, 综合能源服务商, 合作博弈, 风险价值理论, Shapley值

Abstract: With the strengthening of multi-energy coupling and the advancement of energy reform, the integrated energy market has been gradually established, and severe energy price fluctuations in the integrated energy spot market have brought great risks to integrated energy service providers (IESP). Aiming at this problem, a cooperative game based risk aversion strategy of IESP's in spot market is proposed in this paper. Firstly, a risk assessment model of spot market transaction based on Value at Risk (VaR) is established. Secondly, a cooperative alliance between IESP is established in order to reduce the overall alliance's spot market trading risks. Finally, the Shapley value method is used to decide the allocation of risk among the members of the alliance, and a trading rule for the risk allocation result is proposed. Simulation results show that the IESP can effectively reduce the risks of participating in the spot market by forming alliances. Meanwhile, the risk allocation method based on Shapley value could ensure the fairness of allocation and the stability of the alliance, and the effectiveness and feasibility of the model is verified.

Key words: integrated energy spot market, integrated energy service provider, cooperation game, value at risk, Shapley value

中图分类号:

TM-9

郭祚刚, 喻磊, 胡洋, 周长城, 雷金勇, 何帅, 刘念. 基于合作博弈的综合能源服务商现货市场风险规避策略[J]. 中国电力, 2019, 52(11): 28-34.

GUO Zuogang, YU Lei, HU Yang, ZHOU Changcheng, LEI Jinyong, HE Shuai, LIU Nian. Research on Competition Strategy of Integrated Energy Service Provider under the Pool-based Market Mechanism[J]. Electric Power, 2019, 52(11): 28-34.

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https://www.electricpower.com.cn/CN/Y2019/V52/I11/28

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基于合作博弈的综合能源服务商现货市场风险规避策略

Research on Competition Strategy of Integrated Energy Service Provider under the Pool-based Market Mechanism

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基于合作博弈的综合能源服务商现货市场风险规避策略

Research on Competition Strategy of Integrated Energy Service Provider under the Pool-based Market Mechanism

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