考虑多周期序贯交易风险的年度购电决策方法

doi:10.11930/j.issn.1004-9649.202508012

中国电力 ›› 2026, Vol. 59 ›› Issue (3): 84-93.DOI: 10.11930/j.issn.1004-9649.202508012

考虑多周期序贯交易风险的年度购电决策方法

蔺国欣¹(), 张超²(), 冯凯³(), 马佳豪¹(), 张宁¹()

1. 清华大学电机工程与应用电子技术系，北京　100084
2. 国网山西省电力有限公司，山西太原　030021
3. 中国电力科学研究院有限公司，江苏南京　210003

收稿日期:2025-08-07 修回日期:2026-01-09 发布日期:2026-03-16 出版日期:2026-03-28
作者简介:
蔺国欣（2002），男，博士研究生，从事电力市场研究，E-mail：18801239359@163.com
张超（1986），男，硕士，高级工程师，从事电力现货市场、大电网调度运行研究，E-mail：54219426@qq.com
冯凯（1988），男，博士，高级工程师，从事电力市场研究，E-mail：fengkai@epri.sgcc.com.cn
马佳豪（2001），男，博士研究生，从事长期储能规划与运行、多能源系统研究，E-mail：jh_ma19@163.com
张宁（1985），男，通信作者，博士，副教授，博士生导师，从事电力系统规划、多能源系统、风电、光伏发电、光热发电、电力系统运行等研究，E-mail：ningzhang@tsinghua.edu.cn
基金资助:
国家电网有限公司科技项目（5108-202455365A-3-1-DG）。

Annual power purchase strategy considering multi-period sequential trading risks

LIN Guoxin¹(), ZHANG Chao²(), FENG Kai³(), MA Jiahao¹(), ZHANG Ning¹()

1. Department of Electrical Engineering, Tsinghua University, Beijing 100084, China
2. State Grid Shanxi Electric Power Company, Taiyuan 030021, China
3. China Electric Power Research Institute, Nanjing 210003, China

Received:2025-08-07 Revised:2026-01-09 Online:2026-03-16 Published:2026-03-28
Supported by:
This work is supported by Science and Technology Project of SGCC (No.5108-202455365A-3-1-DG).

摘要/Abstract

摘要：

电力交易序贯开展，购电主体各交易周期决策耦合，须综合考虑各周期购电成本的风险，对电量在各周期的分配进行序贯决策。当前购电策略未能考虑各交易周期购电成本的风险差异以及序贯交易过程中多周期购电决策耦合。为此，面向具有一定灵活调节能力的电力用户，提出考虑多周期序贯交易风险的年度购电决策方法。首先，构建多周期典型场景集，基于多周期序贯交易的耦合关系刻画购电成本的风险；其次，基于山西电力市场相关规定，建立考虑多周期序贯交易风险的年度购电决策模型；最后进行算例分析，研究多周期交易机制下灵活性资源降低购电成本、规避风险的作用，并分析灵活性资源规模对各交易周期电量分配的影响。结果表明：相比于按固定比例在各交易周期分配电量的策略，所提决策方法可降低全年购电成本1.65%，降低全年购电风险1.41%。

关键词: 条件风险价值, 电力中长期市场, 多周期交易, 序贯交易, 交易风险

Abstract:

As a result of the sequential trading process, the decision-making of power purchasers is intercoupled across different trading periods. Therefore, power purchasers need to consider the trading risks in each period comprehensively and make power purchase decisions sequentially. However, the current power purchase strategies fail to consider the differences in the risks of power purchase costs across multiple trading periods, nor do they consider the intercoupling of multi-period power purchase decisions in the sequential trading process. To address this issue, this paper proposes an annual power purchase strategy considering the risks of multi-period sequential trading for power purchasers with a certain capacity for flexible regulation. Firstly, a set of multi-period scenarios is constructed, and the multi-period sequential trading risks are characterized based on the coupling relationships of multi-period sequential trading. Then, in accordance with the relevant provisions of the Shanxi electricity market, an annual electricity purchase decision-making model considering the risks of multi-period sequential trading is established. Finally, a case study is conducted to investigate the role of flexible resources in reducing electricity purchase costs and avoiding risks under the multi-period trading mechanism, as well as to analyze the impact of the scale of flexible resources on the allocation of electricity volume in each trading period.The results show that, compared with the strategy of allocating power volume among trading periods at a fixed ratio, the proposed strategy can reduce the annual power purchase cost by 1.65% and the annual power purchase risk by 1.41%.

Key words: conditional value-at-risk (CVaR), medium- and long-term electricity market, multi-period trading, sequential trading, trading risks

蔺国欣, 张超, 冯凯, 马佳豪, 张宁. 考虑多周期序贯交易风险的年度购电决策方法[J]. 中国电力, 2026, 59(3): 84-93.

LIN Guoxin, ZHANG Chao, FENG Kai, MA Jiahao, ZHANG Ning. Annual power purchase strategy considering multi-period sequential trading risks[J]. Electric Power, 2026, 59(3): 84-93.

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链接本文: https://www.electricpower.com.cn/CN/10.11930/j.issn.1004-9649.202508012

https://www.electricpower.com.cn/CN/Y2026/V59/I3/84

图/表 7

图 1 年度-月度-日前序贯交易决策过程示意

Fig.1 Schematic diagram of the annual - monthly - day ahead sequential trading decision process

图 2 考虑多周期序贯交易风险的年度购电决策框架

Fig.2 Framework of annual power purchase strategy considering multi-period sequential trading risks

表 1 全年购电成本及相对偏差、购电风险对比

Table 1 Comparison of costs, relative deviations and risks of annual power purchase

决策	全年购电成本/亿元	全年购电成本与事后最优决策的相对偏差/%	全年购电风险/亿元
经验决策	2.125	4.58	2.765
月度-现货两阶段决策	2.173	6.94	3.088
$ \beta =0.2 $时所提决策	2.090	2.85	2.726
$ \beta =0 $时所提决策	2.067	1.72	2.875
事后最优决策	2.032

图 3 不同风险厌恶系数下所提决策全年购电成本、全年购电风险对比

Fig.3 Comparison of annual power purchase costs and risks of proposed strategy under different risk aversion coefficients

图 4 不同风险厌恶系数下各交易周期购电量对比

Fig.4 Comparison of power purchase among trading periods under different risk aversion coefficients

图 5 不同灵活性资源规模、不同风险厌恶系数下所提决策全年购电成本、全年购电风险对比

Fig.5 Comparison of annual power purchase costs and risks of proposed strategy under different scales of flexible resources and different risk aversion coefficients

表 2 不同灵活性资源规模及占比下各交易周期购电量对比

Table 2 Comparison of power purchase among trading periods under different scales and proportions of flexible resources

灵活性资源规模与占比	年度交易总购电量/ (GW·h)	月度交易总购电量/ (GW·h)	日前交易总购电量/ (GW·h)
0 MW/0 MW·h（0%）	579.10	263.40	140.24
10 MW/40 MW·h（10%）	586.74	260.67	145.70
20 MW/80 MW·h（20%）	592.75	259.00	153.12
30 MW/120 MW·h（30%）	595.53	256.63	162.86
40 MW/160 MW·h（40%）	598.17	254.63	171.04
50 MW/200 MW·h（50%）	602.48	251.72	177.45

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考虑多周期序贯交易风险的年度购电决策方法

Annual power purchase strategy considering multi-period sequential trading risks

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