南方电网技术2016，Vol.10Issue(2)：62-69,8.DOI:10.13648/j.cnki.issn1674-0629.2016.02.010
考虑电价碳价随机性及其相关性的发电商投标决策
Bidding Strategies for Generation Company Considering Randomness and Correlation Relationship of Electricity and Carbon Prices
摘要
Abstract
Carbon price and electricity price are bound together under the influence of external factors. Thus,the price randomness of carbon and electricity along with their correlation should be taken into consideration to form the bidding model for generation compa-nies. The difference between actual profit and the expectation is defined as the risk and measured by multi-stochastic conditional risk method in this paper. Then,a CVaR-based bidding model which considers the price randomness of electricity and carbon along with their correlation is proposed. The Linear method is used to sample of the random variables concerning the correlation and to solve the conditional value at risk. Cases considering the correlation between electricity price and carbon price,carbon price cost,carbon price randomness and other risk measurement methods are tested respectively to evaluate their influences on the investment decision risk of generation companies. The results show that considering the price randomness of both electricity and carbon as well as their correlation is more in accordance with the generation companies’requirement of increasing revenue and reducing risk,and conditional risk method is able to describe the risk more accurately.关键词
碳价随机性/电价随机性/多随机变量条件风险/投标组合/相关性/线性变换方法Key words
carbon price uncertainty/electricity price uncertainty/multi-stochastic conditional risk/combined bidding/correlation relationship/linear transformation method分类
信息技术与安全科学引用本文复制引用
周任军,刘照,陈彦秀,张浩,李莹莹,范龙,尹权..考虑电价碳价随机性及其相关性的发电商投标决策[J].南方电网技术,2016,10(2):62-69,8.基金项目
国家自然科学基金资助项目（51277016）；湖南省高校创新平台开放基金项目（12K074）。@@@@Supported by the National Natural Science Founda-tion of China （51277016）；the Innovation Platform Open Funds for Uni-versities in Hunan Province （12K074）． （）
