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The optimal bid strategy of wind power producer based on CVaR newsboy model
Author(s): 
Pages: 14-20
Year: Issue:  24
Journal: Power System Protection and Control

Keyword:  风力发电商日前和实时市场投标策略报童问题条件风险值均衡约束均衡问题蒙特卡罗方法;
Abstract: 在日前市场和实时市场两市场交易结构下,风电出力的波动性增加了风力发电商的市场交易风险.如何根据出力特性,合理制定日前市场投标策略,以在一定风险程度下实现收益最大化,是风力发电商面临的重要问题.分析了实时市场中风力发电商与火力发电商的交易行为,建立了实时市场均衡模型,明确了实时市场均衡条件;以风力发电商收益的CVaR值最大化为目标,在考虑实时市场均衡条件的前提下,基于报童理论建立了风力发电商日前市场投标决策模型,求解此模型是典型的均衡约束的均衡问题(EPEC).以蒙特卡罗方法和非线性互补方法为基础,设计了相应的求解算法.通过仿真算例对所提出的模型和算法的有效性进行了验证.
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