基于Copula-UCVaR风险度量的风电场投资时序规划

doi:10.12204/j.issn.1000-7229.2020.08.010

电力建设 ›› 2020, Vol. 41 ›› Issue (8): 78-86.doi: 10.12204/j.issn.1000-7229.2020.08.010

基于Copula-UCVaR风险度量的风电场投资时序规划

高建伟^1,2，郎宇彤^1,2，高芳杰^1,2，郭贵雨^1,2，梁鹏程^1,2

1.华北电力大学经济与管理学院，北京市 102206；2.新能源电力与低碳发展研究北京市重点实验室（华北电力大学），北京市 102206

出版日期:2020-08-07 发布日期:2020-08-07
作者简介:高建伟（1972），男，教授，博士生导师，研究方向为新能源电力与低碳发展、电力系统充裕性评估与决策等；郎宇彤（1995），女，硕士研究生，通信作者，研究方向为电力系统充裕性评估与决策；高芳杰（1993），女，博士研究生，研究方向为综合能源系统；郭贵雨（1998），男，硕士研究生，研究方向为电力系统充裕性评估与决策；梁鹏程（1996），男，硕士研究生，研究方向为综合能源系统。
基金资助:
北京市自然基金项目（9202017）；国家自然科学基金项目（71671064）；国家社会科学基金重点项目（19AGL027）；中央高校基本科研业务费专项基金项目（2018ZD14）

Timing Planning for Investment of Wind Farm Clusters According to Copula-UCVaR Risk Measurement

GAO Jianwei^1,2, LANG Yutong ^1,2, GAO Fangjie ^1,2, GUO Guiyu ^1,2,LIANG Pengcheng^1,2

1. School of Economics and Management，North China Electric Power University，Beijing 102206, China； 2. Beijing Key Laboratory of New Energy and Low-Carbon Development （North China Electric Power University）, Beijing 102206, China

Online:2020-08-07 Published:2020-08-07
Supported by:
This work is supported by Natural Science Foundation of Beijing Municipality （No. 9202017）,Natural Science Foundation of China （No.71671064）,National Office for Philosophy and Social Sciences （No.19AGL027）,and Fundamental Research Funds for the Central Universities （No.2018ZD14）.

摘要/Abstract

摘要： 文章将调峰充裕性风险和经济价值考虑到风电场群和常规机组的有机协调中，并据此提出了一种风电场投资时序决策方法。首先，为衡量风电场投资的经济价值，结合期权理论构建了经济价值评价模型。其次，为了研究风速相关性对调峰充裕性风险的影响，并且考虑投资者的风险偏好，在利用Copula函数描述风速相关性之后，提出了基于改进的考虑投资者风险偏好的条件风险价值（conditional value-at-risk with the utility function，UCVaR）指标。进而建立了双层规划模型，综合评估了经济价值和调峰充裕性风险，并结合蒙特卡洛模拟和遗传算法进行求解。最后，算例给出了6种情景下的最优时序方案，计算结果表明了风速相关性、投资者的风险偏好和风险度量指标的选择都对风电场投资时序规划有较大的影响。

关键词: 风电场群, 投资时序, 调峰充裕性, 风险度量, Copula

Abstract: Considering both economic value and adequacy risk of peak load regulation for the coordination of wind farm clusters and conventional units, this paper proposes an invrestment timing decision method for wind farms clusters. Firstly, we establish an economic value assessment model with option theory to measure the economic value of wind farm clusters investment. Secondly, in order to study the influence of wind speed correlation on peaking adequacy risk, and consider risk preference of investors, by using the Copula function to describe the correlation of wind speed, a UCVaR index based on modified value function in prospect theory is proposed. Then we construct a bi-level programming model that integrates investment economy and peaking adequacy risk. The Monte Carlo simulation and genetic algorithm are used to solve the model. Finally, the example gives the optimal timing scheme in six scenarios. The calculation results show that the correlation of wind speed, the investors risk preference, and the selection of risk index have considerable influence on the timing planning for investment of wind farm clusters.

Key words: wind farm clusters, investment timing, peak load regulation, risk measurement , Copula

中图分类号:

TM 71

高建伟, 郎宇彤, 高芳杰, 郭贵雨, 梁鹏程. 基于Copula-UCVaR风险度量的风电场投资时序规划[J]. 电力建设, 2020, 41(8): 78-86.

GAO Jianwei, LANG Yutong, GAO Fangjie, GUO Guiyu , LIANG Pengcheng . Timing Planning for Investment of Wind Farm Clusters According to Copula-UCVaR Risk Measurement[J]. ELECTRIC POWER CONSTRUCTION, 2020, 41(8): 78-86.

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基于Copula-UCVaR风险度量的风电场投资时序规划

Timing Planning for Investment of Wind Farm Clusters According to Copula-UCVaR Risk Measurement

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基于Copula-UCVaR风险度量的风电场投资时序规划

Timing Planning for Investment of Wind Farm Clusters According to Copula-UCVaR Risk Measurement

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