Research On Application Of Stochastic Programming Technology In Operation Strategy Of Power Producers In Future Market

With the gradual maturity of the medium and long-term contract market and the establishment of the spot market,power generators can participate in bilateral or multilateral contract transactions,as well as trade in the real-time electrical energy market and ancillary service market in the auction market.The decision-making problem of power generators has changed into two aspects,one is the decision on the distribution of electricity sales between the medium-and long-term contract market and the spot market,and the other is the pricing decision of the two markets.Based on this background,this paper conducted a decision-making study of the power generation companies in the mid-to-long-term market that took into account market operational risks,and mainly completed the following tasks:(1)We utilize the stochastic programming to decide the best strategy in the future market for the electricity producers under different practical conditions.Specifically,with the example of north Europe future market,we build the stochastic programming that considers the risk of strategy,based on which we explore the impact of several conditions(unit availability,cost,unit self-sufficiency and so on)on the electricity supply.Our results can shed light on how producers should participate in the future market in order to obtain the maximal profit.(2)In the stochastic programming model,a producer usually needs to consider the risk,which is caused by the profit fluctuation of different scenarios.Despite the importance of scaling the risk,it is still an open question to measure the risk effectively.In this study,we conducted comprehensive experiments to examine the effectiveness of four commonly accepted risk measures(Conditioned Value-at-Risk,Value-at-Risk,Shortfall Probability,Expected Shortfall).Our results imply that Conditioned Value-at-Risk(CVaR)and Value-at-Risk(Va R)are well-behaved performers in circumventing the risk.Inspired by the prospect of CVaR and Va R,we apply them into the decision-making of electricity producers in future market.(3)Encouraged by the success of CVaR,we propose a new optimization model consisting of only CVaR term for stochastic programming.The theoretical analysis demonstrates that in such setting,only those scenarios whose profits are lower than the Va R are effective in terms of optimization,which brings new opportunities for scenario reduction.Further,an algorithm based on CVaR model is proposed that can simultaneously determine the strategy and reduce the number of scenarios.The experiments show the proposed algorithm manifests better fidelity than the backward reduction algorithm.