计及动态一致性风险度量的水电短期优化调度精选.pdfVIP

第28 卷 第10 期 中 国 电 机 工 程 学 报 Vol.28 No.10 Apr.5, 2008 94 2008 年4 月5 日 Proceedings of the CSEE ©2008 Chin.Soc.for Elec.Eng. 0258-8013 (2008) 10-0094-06 TM 73 A 470 40 文章编号： 中图分类号： 文献标识码： 学科分类号： ⋅ 计及动态一致性风险度量的水电短期优化调度 刘嘉佳，刘俊勇，帅 颖，丁 婧 (四川大学电气信息学院，四川省 成都市 610065) Short-term Optimal Regulation of Hydropower Plants With Dynamic Coherent Risk Measures LIU Jia-jia, LIU Jun-yong, SHUAI Ying, DING Jing (School of Electrical Engineering and Information, Sichuan University, Chengdu 610065, Sichuan Province, China) ABSTRACT: The multi-period portfolio strategy is a dynamic 关键词：电力市场；动态一致性风险度量；分位数回归；水 optimal problem, i.e., a process of decision-making with 电优化调度 multi-period risks, whose risks should be measured by a 0 引言 dynamic index accordingly. The conditional value at risk (CVaR) is a static coherent risk measure, which can not be used 电力市场环境下，发电企业在制定营销策略的 to make a multi-period risk evaluation on the time distribution 过程中必须考虑市场、资源、投资、技术等方面存 of power generation. The long-term impact of risks on the 在的风险，其风险管理旨在通过识别、衡量和分析 fluctuation of future yields was considered, the quantile on the 风险，用经济的方法综合处理、有效控制风险。近 static coherent risk measure was acted to reflect the dynamic 年来，金融领域风险管理的理论越来越多地介入到 characteristic of multi-period risks, a novel dynamic coherent 电力市场的研究当中。Artzner 等在1997 年提出的一 risk measure was proposed, and a model was built by 致性风险度量[1]，致使许多学者开始对风险度量问题 introducing the quantile regression to minimize the weighted 进行研究。针对不同的风险类型及风险管理的不同 sum of the absolute devi