电力系统自动化2019，Vol.43Issue(5)：39-45,52,8.DOI:10.7500/AEPS20180612006
基于vine-Copula的发电商运营损益动态风险VaR评估方法
vine-Copula Based Dynamic Risk VaR Assessment Method for Operation Profit and Loss of Generation Companies
摘要
Abstract
In the power market environment, the fluctuation of load and electricity price, the random output of renewable power supply, the change of network topology, the adjustment of the system operation mode and a large number of uncertainties add risks for the operating income of generation companies (GenCos). In order to help GenCos accurately evaluate their own risks and formulate appropriate bidding strategies and generating unit plans, a vine-Copula theory based value at risk (VaR) evaluation model is presented for the profit and loss of GenCos. Firstly, based on the AC power flow, the optimal power flow model for day-ahead dynamic economic dispatch of power grid is established to calculate the locational marginal price. Then, the pair-Copula theory is introduced to construct the high dimensional vine-Copula dependent structure of the profit and loss functions of GenCos. Finally, the VaRs of operating combined risk of GenCos under different confidence levels are calculated based on the definition of VaR. The example of IEEE 39-bus system is taken to verify the effectiveness of the proposed model and method.关键词
电力市场/发电商运营损益/风险价值(VaR)/vine-Copula/动态经济调度Key words
electricity market/operating profit and loss of generation companies (GenCos)/value at risk (VaR)/vine-Copula/dynamic economic dispatch引用本文复制引用
谢敏,胡昕彤,柯少佳,程培军,刘明波..基于vine-Copula的发电商运营损益动态风险VaR评估方法[J].电力系统自动化,2019,43(5):39-45,52,8.基金项目
广东省自然科学基金自由申请项目(2018A0303130134) （2018A0303130134）
This work is supported by Free Application Project of Guangdong Provincial Natural Science Foundation of China(No. 2018A0303130134). （No. 2018A0303130134）
