现货市场中考虑中长期交易限制的售电公司决策

doi:10.11930/j.issn.1004-9649.201912144

摘要/Abstract

摘要： 不断深化的电力现货市场改革给售电公司的购售电业务带来了新的机遇和挑战，现货市场下售电公司的决策研究具有重要意义。通过价格-份额函数反映售电公司在零售市场中面临的竞争和用户选择行为，建立售电公司购售电的成本与收益的数学模型，基于对数正态分布产生一系列现货电价的不同场景，用条件在险价值（conditional value at risk, CVaR)模型量化给定置信度水平下所有场景中的购售电风险，最后建立收益-风险目标函数。通过算例分析比较不同风险偏好下，有中长期交易限制和无中长期交易限制下售电公司的售电价格、市场份额、中长期购电比例、风险和收益。算例分析表明：当中长期购电不存在限制时，售电公司会制定较高的零售电价并签订大量的中长期合同；当存在中长期购电限制时，售电公司必须降低零售电价、提高市场份额，以获取更多的中长期交易资格来实现收益最大化，此时售电公司的风险和收益均低于不存在中长期限制时的水平，用户侧福利上升。

关键词: 现货市场, 售电公司, 购售电决策, 中长期交易限制, 条件在险价值（CVaR）

Abstract: The deepening reform of the electricity spot market has brought new opportunities and challenges to the retailers. Research on decision-making of the retailer in the spot market is of great significance. The price-quota function is used to quantify the competition faced by the retailer. The paper establishes the cost and income model of electricity procurement and selling by a retailer, and generates a series of scenarios with different spot price based on lognormal distribution, and quantifies the risk in all scenarios with CVaR mode, and finally establishes the profit-risk objective function. In the case study, the paper compares the selling price, market share, the proportion of electricity procuring in the medium and long-term market, risk and profit of the retailer with and without the long and medium term trading restrictions under different risk preferences. The case study shows: when there is no restriction on medium and long term power procure, the retailer will set a higher retail price and sign a large number of medium and long term contracts; when there is a restriction on medium and long-term power purchase, the retailer must reduce the retail price to obtain more medium and long term trading qualifications to maximize the profit, and both the risk and profit of the retailer are lower than the level when there is no medium and long term restriction, and meanwhile the benefit of the demand sides increases.

Key words: spot market, retailer, electricity procurement and selling, medium and long term restriction, conditional valve at risk (CVaR)

徐云. 现货市场中考虑中长期交易限制的售电公司决策[J]. 中国电力, 2021, 54(6): 79-85.

XU Yun. The Decision Making Process of an Electricity Retailer Under Medium and Long Term Restriction in Spot Market[J]. Electric Power, 2021, 54(6): 79-85.

导出引用管理器 EndNote|Ris|BibTeX

链接本文: https://www.electricpower.com.cn/CN/10.11930/j.issn.1004-9649.201912144

https://www.electricpower.com.cn/CN/Y2021/V54/I6/79

参考文献

[1] 胡晨, 杜松怀, 苏娟, 等. 新电改背景下我国售电公司的购售电途径与经营模式探讨[J]. 电网技术, 2016, 40(11):3293-3299
HU Chen, DU Songhuai, SU Juan, et al. Preliminary research of trading approach and management modes of Chinese electricity retail companies under new electricity market reform[J]. Power System Technology, 2016, 40(11):3293-3299
[2] 杨甲甲, 赵俊华, 文福拴, 等. 电力零售核心业务架构与购售电决策[J]. 电力系统自动化, 2017, 41(14):10-23
YANG Jiajia, ZHAO Junhua, WEN Fushuan, et al. Key business framework and purchase/sale decision-making for electricity retailers[J]. Automation of Electric Power Systems, 2017, 41(14):10-23
[3] KHARRATI S, KAZEMI M, EHSAN M. Equilibria in the competitive retail electricity market considering uncertainty and risk management[J]. Energy, 2016, 106:315-328.
[4] KURIHARA G I, ASANO H, OKADA K, et al. Long-term power trade model in electricity market based on game theory[C]//IEEE/PES Transmission and Distribution Conference and Exhibition, Yokohama, Japan. IEEE, 2002.
[5] SIRIPATANAKULKHAJORN S, SAISHO Y, FUJⅡ Y, et al. Study on stochastic optimal electric power procurement strategies with uncertain market prices[J]. Electrical Engineering in Japan, 2006, 156(2):32-42.
[6] 杨阳方, 刘继春. 计及电量互保策略的售电公司两阶段日前决策方法[J]. 电力系统自动化, 2017, 41(24):120-128
YANG Yangfang, LIU Jichun. Two-stage decision-making method of retailers considering power transfer strategy[J]. Automation of Electric Power Systems, 2017, 41(24):120-128
[7] 郭曼兰, 陈皓勇, 张聪, 等. 偏差电量考核机制下售电公司的最优经营策略[J]. 电力系统自动化, 2017, 41(20):17-25
GUO Manlan, CHEN Haoyong, ZHANG Cong, et al. Optimal marketing strategy of retailers under energy deviation penalty[J]. Automation of Electric Power Systems, 2017, 41(20):17-25
[8] 贾晨, 杜欣慧. 中长期交易机制下售电公司购电策略优化[J]. 中国电力, 2019, 52(9):140-147
JIA Chen, DU Xinhui. Optimization of electricity purchasing strategy for electricity retailers under the medium and long-term trading mechanism[J]. Electric Power, 2019, 52(9):140-147
[9] 唐力, 刘继春, 杨阳方, 等. 基于信息间隙决策理论的多种零售合同模式下售电公司购售电策略[J]. 电网技术, 2019, 43(6):1978-1988
TANG Li, LIU Jichun, YANG Yangfang, et al. Study on strategies of electricity procurement and sale of power retailer with multiple retail contract modes based on information gap decision theory[J]. Power System Technology, 2019, 43(6):1978-1988
[10] DAGOUMAS A S, POLEMIS M L. An integrated model for assessing electricity retailer's profitability with demand response[J]. Applied Energy, 2017, 198:49-64.
[11] 刘琰, 刑薇, 丁乐群, 等. 基于ARIMA-GARCH模型的现货电价预测[J]. 能源技术经济, 2012, 24(2):59-63
LIU Yan, XING Wei, DING Lequn, et al. Spot electricity price forecasting based on ARIMA-GARCH model[J]. Electric Power Technologic Economics, 2012, 24(2):59-63
[12] 王瑞庆, 王弗雄, 马杰, 等. 基于多周期GARCH-M模型的短期电价预测[J]. 电网与清洁能源, 2012, 28(4):47-51, 56
WANG Ruiqing, WANG Fuxiong, MA Jie, et al. Short-term electricity price forecasting based on multi-cycle GARCH-M model[J]. Power System and Clean Energy, 2012, 28(4):47-51, 56
[13] 朱兆霞, 邹斌. PJM日前市场电价的统计分析[J]. 电力系统自动化, 2006, 30(23):53-57
ZHU Zhaoxia, ZOU Bin. Statistical analysis of PJM day ahead market price[J]. Automation of Electric Power Systems, 2006, 30(23):53-57
[14] 柳瑞禹, 邱丹. 应用资本收益率风险控制方法的电网企业多市场购电组合优化[J]. 电网技术, 2011, 35(1):203-208
LIU Ruiyu, QIU Dan. Optimization of multi-market purchasing portfolio for power grid enterprises applying risk adjusted return on capital method[J]. Power System Technology, 2011, 35(1):203-208
[15] 胡汉辉, 吕魁, 万兴, 等. 基于转换成本和两类用户的多市场竞争:以电力零售市场为例[J]. 系统工程理论与实践, 2010, 30(9):1545-1553
HU Hanhui, LU Kui, WAN Xing, et al. Multi-market competition with switching cost and two category consumers:on the example of electrical retail market[J]. Systems Engineering-Theory & Practice, 2010, 30(9):1545-1553
[16] RUIZ C, NOGALES F J, PRIETO F J. Retail equilibrium with switching consumers in electricity markets[J]. Networks and Spatial Economics, 2018, 18(1):145-180.
[17] HATAMI A R, SEIFI H, SHEIKH-EL-ESLAMI M K. Optimal selling price and energy procurement strategies for a retailer in an electricity market[J]. Electric Power Systems Research, 2009, 79(1):246-254.
[18] YAN Q Y, QIN C, NIE M J, et al. Forecasting the electricity demand and market shares in retail electricity market based on system dynamics and Markov chain[J]. Mathematical Problems in Engineering, 2018:1-11.
[19] 罗琴. 市场环境下售电公司购售电策略研究[D]. 上海:上海交通大学, 2014.
LUO Qin. Study of energy procurement and marketing decision in competitive retail market[D]. Shanghai:Shanghai Jiaotong University, 2014.
[20] KUATE R T, CHLI M, WANG H H. Optimising market share and profit margin:SMDP-based tariff pricing under the smart grid paradigm[C]//IEEE PES Innovative Smart Grid Technologies, Europe. Istanbul, Turkey. IEEE, 2014:1−6.
[21] 喻小宝, 谭忠富, 屈高强. 基于电力客户评估的差异化电价套餐研究[J]. 中国电力, 2020, 53(2):9-19
YU Xiaobao, TAN Zhongfu, QU Gaoqiang. Research on differentiated price package based on power customer evaluation[J]. Electric Power, 2020, 53(2):9-19