Research On Application Of Robust Optimization Theory To Risk Management In Electricity Market

The market oriented reform of electric power industry provides a variety of trading options for the electricity market participants. These trading choices have different risk-return characteristics, so the electricity market participants should allocate the electricity among these trading choices reasonably. And in recent years, in order to ease the problem of fossil energy consumption and environmental degradation, wind power, solar power and other new energy power generation have developed rapidly. It is a trend that wind power and other new energy power generation participate in the competition in the electricity market. However, wind power, photovoltaic and other new energy power generation output is random and intermittent. When the large-scale new energy is integrated and takes part in the electricity market, the risk of electricity market price will increase. In this environment, how to design reasonable power allocation strategies to carry out effective risk management, becomes one of the most important problems that electricity market participants have to solve. In this context, based on the probabilistic robust optimization theory, this paper carries out a research about electricity capacity allocation risk decision strategies among bilateral contracts, option contract and spot market. The main works are as follows:Firstly, the robust optimization theory based on probability information and its solving method are discussed in this paper. It is shown the robust optimization based on probability information makes full use of the probability distribution information of the random parameters and the degree of decision maker’s risk aversion is fully considered. Taking into account the fact that most market participants have the risk aversion characteristics, this method can provide new tools and ideas for the power market participants’ power allocation decision and risk assessment.Secondly, a kind of the purchase of electricity decision making risk management model based on the probabilistic robust optimization theory is proposed, which is for the risk-averse distribution company under uncertain spot market price. The conditional robust cost is used to describe the risk-averse distribution company’s worst-case expected purchase electricity cost under a certain confidence level. The objective of the distribution company electricity allocation problem is to minimize conditional robust cost. The electricity capacity purchase robust decision model is proposed for the distribution company among the spot market, bilateral contracts and call option. And then the model is transformed into a mixed integer linear programming problem to solve. The rationality and effectiveness of the model are verified by a numerical example. The research shows that the larger the degree of risk averse of the distribution company, the more robust cost and conditional robust cost are. The distribution company can mitigate market risk by reducing the spot market trading volume and increasing bilateral contracts trading volume and put option trading volume; The larger the uncertainty in spot market price, the more electricity the distribution company allocates in the bilateral contracts and put option contracts.Thirdly, the model of electricity capacity allocation strategies among bilateral contracts, option contract and spot market for risk-averse Gen Co under uncertainty of spot market price is proposed. The conditional robust profit is used to describe the risk-averse Gen Co’s guaranteed profits under a certain confidence level. The objective of the Gen Co generation asset allocation problem is to maximize Gen Co’s conditional robust profit. And then the model is transformed into a mixed integer nonlinear programming problem to solve. The example analysis shows that this model can maximize the Genco’s guaranteed profit under a certain confidence level, and make different allocation strategies for Gencos with different attitudes toward risk.Last, the probabilistic robust optimization method which contains two random variables is described. The robust decision model of electricity capacity allocation strategies among bilateral contracts, option contracts and spot market for risk-averse wind power producer under uncertainty of spot market price and output power is proposed. The conditional robust revenue is used to describe the risk-averse wind power producer’s guaranteed revenue under a certain confidence level. And then the model is transformed into a mixed integer linear programming problem to solve. The rationality and validity of the model are proved by the Monte Carlo simulation-based numerical examples. It is also shown that the uncertainty in spot market price have a greater influence on wind power producer’s revenue than the output power uncertainty.