市场条件下的发电投资分析与发电系统运行可靠性研究
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摘要
电力工业的市场化进程为电力行业的组织、运营和消费体系带来了深刻而又巨大的变革。电力市场环境下的竞争机制极大地影响了发电投资规划和可靠性评估的技术实施，特别是投资主体的转变和市场化运作的要求导致了发电投资决策由传统的极小化投资和运行成本转变为最大化投资者的收益，很多传统的可靠性评估手段在市场环境下的适用性也遭到质疑。电源在电力市场中扮演着十分重要的角色，投资主体的决策方案一方面影响着市场成员的切身利益，另一方面也影响着系统的安全运行。本文对于电力市场条件下的发电投资与发电系统运行可靠性问题进行了比较系统和深入地研究，取得了以下研究成果：
建立了基于随机过程的现货市场电价模型。在对电价唯象特性做出分析的基础上，利用随机微分方程描述现货市场的电价过程。模型可反映电价所独有的物理特性，如多重周期性、随机波动性和跳跃特性等。重点推导得出了均值回复过程的随机微分方程和Monte Carlo采样公式。
研究了发电商现货市场中的发电收益估计模型和风险评估问题。将发电收益建模为欧式看涨期权的形式，考虑了发电机的服役时间，强迫停运，折现率等多种因素。并进一步修正了基本模型，以充分考虑运行约束对发电收益的影响。应用MonteCarlo仿真法和最优潮流技术求解模型以获得发电收益的分布，从而进行风险估计。
提出了长期双边合同中发电商的收益估计模型。模型由发电机强迫停运、合同磋商价格、可变燃料费用、固定资本折旧等子模型构成，重点考虑了系统发生阻塞时阻塞费用和金融输电权对合同收益的影响。根据无套利假设推导了合同磋商价格。分别应用点估计法和Monte Carlo仿真法求解以适应不同计算场合的需要。
研究了发电投资风险估计和投资组合问题。引入了一种“箱式-混合”分布，基于最差条件风险价值的概念，建立了稳健发电投资组合模型。推导得到了多电力市场投资组合中的解析线性规划模型，给出了求解方法。
建立了基于一致性风险度量的发电系统运行可靠性评估指标和优化模型。定义了适用于市场环境的新发电系统运行可靠性指标——风险备用和条件风险备用。讨论并证明了新指标的数学性质，其中条件风险备用为一致性风险度量指标。提出了一个效能函数，通过对该函数求极值可获得相应的风险备用和条件风险备用水平。证明了最优化条件风险价值的模型为凸优化问题。并举例分析了模型的用法。
应用新可靠性指标讨论了含可再生能源发电系统的运行可靠性问题。为了适应系统运行的需要，对传统LOLP模型进行了改进。提出了一种解析的风机有功出力模型。根据可靠性指标和风机模型，讨论了可再生能源发电的引入对系统运行可靠性的影响。
最后对论文中所做的研究工作进行了简要总结，并提出了在该方向上有待进一步深入研究的问题。
The marketization of electricity power industry brings profound and significant changes for the construction, operation and consumption of power systems. The competition mechanism in power market environment greatly influences the technical execution of generation investment planning and reliability assessment. Particularly, the alteration of investment subjects and the request of market mechanisms lead to the transform from minimizing the investment and operation costs to maximizing the investors' profit in generation investment decision, the applicability of many evaluation methods used in traditional reliability assessment under market environment are also doubted. In power market, generation plays an important role, because the decision schemes of investment subjects will affect the benefit of each participator in the market, and the security of power system at the same time.In this thesis, generation investment and operation reliability assessment of generation system problems are studied systematically, and some results are obtained as following:
The electricity price model based on stochastic process in spot market is established. According to the analysis of characteristcs of spot market prices, stochastic differential equations are adopted for the description of the stochastic process of spot market electricity prices. The model can reflect special physical characteristics of electricity prices, such as seasonality, volatility and price jumps. The stochastic differential equations and sample path for geometric mean reversion process are emphatically derived.
Profit and risk evaluation of generator in spot market is studied. The value of the generation asset is determined by the accumulation of difference between the electricity price and fuel price in the life time of generator. Additionally, the force outage of generators and risk-less return rate are taken into account in the proposed model. For the consideration of the influence of operation constraints on generator profit, the basic model is modified. Monte Carlo simulation and Optimal Power Flow are used to solve the model to get the distribution of generator profit, and so that investment risk can be assessed.
The model for the profit estimation of Generation Company in long-term bilateral contract is presented. The model is consisted of several sub-models, like force outage of generators, negotiated contract price, variable fuel costs, and investment depreciation. The effects of congestion charge and financial transmission rights on the profit are specially investigated. The negotiated contract price is derived based on the no-arbitrage principle. The point estimation method and Monte Carlo simulation are implemented for the solving of proposed model to adapt different computation demand.
The generation investment risk assessment and portfolio investment problems are investigated. A "composite mixture-box" distribution is defined. Based on the concept of Worst-case Value at Risk, a robust portfolio investment model for generation asset is derived. The analytical linear programming model for generation portfolio investment in multiple power markets is established and the solution is also provided.
Coherent risk measure based operation reliability index for generation system and its optimization model are established. Two novel reliability indices, named as Reserve at Risk and Conditional Reserve at Risk, are defined for operation of generation system. The mathematic characteristics are discussed and proved. CRaR is a coherent risk measure. A performance function is proposed, by maximizing which the level of Reserve at Risk and Conditional Reserve at Risk can be obtained. The optimization model of Conditional Reserve at Risk is proved to be a convex optimal problem. Example is offered to analyze the application of proposed model.
New reliability indices are applied to discuss operation reliability problems of generation systems with renewable energy. To adapt generation system operation, the traditional Loss of Load Probability model is modified. An analytical active power output model for wind power generator is presented, based on which the influence of introduction of renewable generators into traditional generation systems on operation reliability is analyzed.
Finally, conclusions are made for the work in this thesis, and directions for future research are indicated.
建立了基于随机过程的现货市场电价模型。在对电价唯象特性做出分析的基础上，利用随机微分方程描述现货市场的电价过程。模型可反映电价所独有的物理特性，如多重周期性、随机波动性和跳跃特性等。重点推导得出了均值回复过程的随机微分方程和Monte Carlo采样公式。
研究了发电商现货市场中的发电收益估计模型和风险评估问题。将发电收益建模为欧式看涨期权的形式，考虑了发电机的服役时间，强迫停运，折现率等多种因素。并进一步修正了基本模型，以充分考虑运行约束对发电收益的影响。应用MonteCarlo仿真法和最优潮流技术求解模型以获得发电收益的分布，从而进行风险估计。
提出了长期双边合同中发电商的收益估计模型。模型由发电机强迫停运、合同磋商价格、可变燃料费用、固定资本折旧等子模型构成，重点考虑了系统发生阻塞时阻塞费用和金融输电权对合同收益的影响。根据无套利假设推导了合同磋商价格。分别应用点估计法和Monte Carlo仿真法求解以适应不同计算场合的需要。
研究了发电投资风险估计和投资组合问题。引入了一种“箱式-混合”分布，基于最差条件风险价值的概念，建立了稳健发电投资组合模型。推导得到了多电力市场投资组合中的解析线性规划模型，给出了求解方法。
建立了基于一致性风险度量的发电系统运行可靠性评估指标和优化模型。定义了适用于市场环境的新发电系统运行可靠性指标——风险备用和条件风险备用。讨论并证明了新指标的数学性质，其中条件风险备用为一致性风险度量指标。提出了一个效能函数，通过对该函数求极值可获得相应的风险备用和条件风险备用水平。证明了最优化条件风险价值的模型为凸优化问题。并举例分析了模型的用法。
应用新可靠性指标讨论了含可再生能源发电系统的运行可靠性问题。为了适应系统运行的需要，对传统LOLP模型进行了改进。提出了一种解析的风机有功出力模型。根据可靠性指标和风机模型，讨论了可再生能源发电的引入对系统运行可靠性的影响。
最后对论文中所做的研究工作进行了简要总结，并提出了在该方向上有待进一步深入研究的问题。
The marketization of electricity power industry brings profound and significant changes for the construction, operation and consumption of power systems. The competition mechanism in power market environment greatly influences the technical execution of generation investment planning and reliability assessment. Particularly, the alteration of investment subjects and the request of market mechanisms lead to the transform from minimizing the investment and operation costs to maximizing the investors' profit in generation investment decision, the applicability of many evaluation methods used in traditional reliability assessment under market environment are also doubted. In power market, generation plays an important role, because the decision schemes of investment subjects will affect the benefit of each participator in the market, and the security of power system at the same time.In this thesis, generation investment and operation reliability assessment of generation system problems are studied systematically, and some results are obtained as following:
The electricity price model based on stochastic process in spot market is established. According to the analysis of characteristcs of spot market prices, stochastic differential equations are adopted for the description of the stochastic process of spot market electricity prices. The model can reflect special physical characteristics of electricity prices, such as seasonality, volatility and price jumps. The stochastic differential equations and sample path for geometric mean reversion process are emphatically derived.
Profit and risk evaluation of generator in spot market is studied. The value of the generation asset is determined by the accumulation of difference between the electricity price and fuel price in the life time of generator. Additionally, the force outage of generators and risk-less return rate are taken into account in the proposed model. For the consideration of the influence of operation constraints on generator profit, the basic model is modified. Monte Carlo simulation and Optimal Power Flow are used to solve the model to get the distribution of generator profit, and so that investment risk can be assessed.
The model for the profit estimation of Generation Company in long-term bilateral contract is presented. The model is consisted of several sub-models, like force outage of generators, negotiated contract price, variable fuel costs, and investment depreciation. The effects of congestion charge and financial transmission rights on the profit are specially investigated. The negotiated contract price is derived based on the no-arbitrage principle. The point estimation method and Monte Carlo simulation are implemented for the solving of proposed model to adapt different computation demand.
The generation investment risk assessment and portfolio investment problems are investigated. A "composite mixture-box" distribution is defined. Based on the concept of Worst-case Value at Risk, a robust portfolio investment model for generation asset is derived. The analytical linear programming model for generation portfolio investment in multiple power markets is established and the solution is also provided.
Coherent risk measure based operation reliability index for generation system and its optimization model are established. Two novel reliability indices, named as Reserve at Risk and Conditional Reserve at Risk, are defined for operation of generation system. The mathematic characteristics are discussed and proved. CRaR is a coherent risk measure. A performance function is proposed, by maximizing which the level of Reserve at Risk and Conditional Reserve at Risk can be obtained. The optimization model of Conditional Reserve at Risk is proved to be a convex optimal problem. Example is offered to analyze the application of proposed model.
New reliability indices are applied to discuss operation reliability problems of generation systems with renewable energy. To adapt generation system operation, the traditional Loss of Load Probability model is modified. An analytical active power output model for wind power generator is presented, based on which the influence of introduction of renewable generators into traditional generation systems on operation reliability is analyzed.
Finally, conclusions are made for the work in this thesis, and directions for future research are indicated.
引文
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