摘要
用绝对离差度量供电公司的购电风险,建立以风险最小化为目标的多市场购电组合优化模型。绝对离差模型用投资收益率的一阶绝对中心矩来代替二阶中心矩,发散的可能性进一步降低,且不严格要求收益率服从正态分布以及协方差是否存在,这符合市场实际情况,容易转化为线性规划求解。以在四个市场中购电为例对模型求解,结果表明所提模型能反映供电公司面临的市场风险的本质特征,为供电公司的购电决策及其风险评估提供新的思路。
Using the absolute deviation as a risk measurement index, a novel absolute deviation optimal purchasing portfolio model for multiple markets is built in risk minimization target. This method does not strictly consider whether the profit margin is normal distribution or the covariance exists, which accords with the real market situation. Taking the power purchasing in four markets for example, the proposed model is transferred into a linear programming problem. The calculation results show that the proposed model can truly reflect the essential characteristics of power market risk faced by the supply companies and guarantee the supply companies to obtain the expected profits at the minimum absolute deviation risk. So it provides the supply companies a new idea for risk assessment and purchase decision-making.
出处
《电力系统及其自动化学报》
CSCD
北大核心
2009年第5期1-7,共7页
Proceedings of the CSU-EPSA
基金
国家973计划资助项目(2004CB217905)
关键词
电力市场
电能分配
最优策略
绝对离差
风险管理
electricity market
electricity distribution
optimal strategy
absolute deviation
risk management
