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需求侧实时电价(RTP)是电力市场下需求响应的重要手段之一。作为一种理想的需求侧电价机制,通过结合与RTP相关的各类套期保值合同,RTP的价格波动风险可以在市场参与者之间合理分摊。基于各国开展RTP的研究与实践,结合随机电价模型,利用Monte-Carlo模拟法对与RTP相关的各类套期保值合同进行定价。在确定了合同价格后,基于条件风险价值(CVaR)法,以用户购电效用最大化为目标,建立了不同风险喜好的用户选择负荷最优套期保值比例的决策模型。最后通过算例仿真验证了所述方法的有效性,它有利于用户有选择性地规避RTP的价格风险,实现了供电公司与用户之间的良好互动。
Demand-side real-time electricity price (RTP) is one of the important means of demand response under electricity market. As an ideal demand-side electricity price mechanism, the risk of price fluctuation of RTP can be reasonably apportioned among market participants by combining various types of hedging contracts related to RTP. Based on the RTP research and practice in various countries, the RTP-related hedging contracts are priced using Monte-Carlo simulations combined with the stochastic electricity price model. After the contract price is determined, the decision-making model of optimal risk hedging ratio of users with different risk preferences is established based on the CVaR method and the maximization of user purchase efficiency. Finally, a numerical example is given to verify the effectiveness of the proposed method. It is helpful for users to selectively avoid the price risk of RTP and realize the good interaction between power company and users.