颜宇飞, 唐早, 刘友波, 王淼, 向月, 高红均, 刘俊勇. 双重不确定性下考虑风险偏好的风储系统日前报量策略[J]. 电网技术, 2023, 47(3): 1078-1087. DOI: 10.13335/j.1000-3673.pst.2022.0482
引用本文: 颜宇飞, 唐早, 刘友波, 王淼, 向月, 高红均, 刘俊勇. 双重不确定性下考虑风险偏好的风储系统日前报量策略[J]. 电网技术, 2023, 47(3): 1078-1087. DOI: 10.13335/j.1000-3673.pst.2022.0482
YAN Yufei, TANG Zao, LIU Youbo, WANG Miao, XIANG Yue, GAO Hongjun, LIU Junyong. Day-ahead Bidding Strategy of Combined Wind Storage System Considering Risk Preference Under Dual Uncertainties[J]. Power System Technology, 2023, 47(3): 1078-1087. DOI: 10.13335/j.1000-3673.pst.2022.0482
Citation: YAN Yufei, TANG Zao, LIU Youbo, WANG Miao, XIANG Yue, GAO Hongjun, LIU Junyong. Day-ahead Bidding Strategy of Combined Wind Storage System Considering Risk Preference Under Dual Uncertainties[J]. Power System Technology, 2023, 47(3): 1078-1087. DOI: 10.13335/j.1000-3673.pst.2022.0482

双重不确定性下考虑风险偏好的风储系统日前报量策略

Day-ahead Bidding Strategy of Combined Wind Storage System Considering Risk Preference Under Dual Uncertainties

  • 摘要: “两个细则”中明确指出对风电场参与市场运行进行偏差考核,市场机制下电价与风电出力的不确定性,进一步增加了风电场参与现货市场的收益风险。而信息差距决策理论(info-gap decision theory,IGDT)具有在严重不确定性背景下的优化决策能力,因此提出基于IGDT的风储联合系统日前报量决策模型。首先,立足于传统风储联合系统日前报量决策模型,在目标函数中引入了偏差惩罚项,量化日前报量决策导致的实时费用风险。其次,考虑决策者风险偏好的差异,构建了“风险规避”和“投机套利”两种风险偏好的IGDT电价不确定性描述模型。同时,利用贝塔分布描述风电出力分布特征,并采用超拉丁立方的区间采样实现决策者风险偏好在风电出力不确定性上的有效量化。最后,采用McCormick包络将原问题进行凸松弛后利用商业求解器求解。算例表明,所提出的日前报量决策模型能够满足决策者不同风险偏好的前提下,进一步提高风储系统的日前收益。

     

    Abstract: The "Two Detailed Rules" clearly point out that the deviation assessment of wind farms' participation in the market operation should be carried out. The uncertainties of electricity prices and wind power outputs under the market mechanism further increase the profit risks of wind farms' participation in the spot market. The info-Gap Decision Theory (IGDT), however, has the ability to have the optimistic decisions under the background of severe uncertainties. Therefore, an IGDT based day-ahead decision model for the combined wind storage system is proposed. Firstly, based on the traditional day-ahead decision model of the combined wind storage system, the deviation penalty term is introduced into the objective function to quantify the real-time cost risks caused by the day-ahead decision. Secondly, considering the difference of the decision makers' risk preferences, the IGDT uncertainty model of the electricity prices with the "risk aversion" and the "speculation and arbitrage" risk preferences is constructed. At the same time, the beta distribution is used to describe the distribution characteristics of the wind power outputs, and the interval sampling of the super-Latin cube is used to effectively quantify the decision makers' risk preferences in the wind power output uncertainty. Finally, the McCormick envelope is used to solve the original problem with the commercial solver after convex relaxation. The numerical example shows that the model can meet the different risk preferences of the decision makers and further improve the daily returns of the wind storage system.

     

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