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电力市场实际上网电价并不一定满足正态分布,因此,有必要对供电公司在多交易市场、多阶段条件下的购电策略进行研究。文中首先采用极大似然估计法对美国PJM电力市场实际上网电价数据的分形分布特征参数进行了估计,并运用柯尔莫哥洛夫拟合检验(K-S)法对其拟合效果进行检验;市场用电量利用均值回复的AR(1)模型进行描述,美国PJM电力市场的实际用电量数据验证了该模型的有效性。根据上网电价服从分形分布的特性推导出了评估供电公司动态购电组合风险的计算公式。在此基础上构建了基于投资组合理论的供电公司动态购电组合模型,并利用等价原理将该模型转化为线性规划模型进行求解。算例表明所构建的供电公司动态购电组合模型能真实地反映供电公司所面临的风险情况。
Therefore, it is necessary to study the power company’s power purchase strategy in multi-trading market and multi-stage conditions. In this paper, the maximum likelihood estimation method is used to estimate the fractal distribution characteristic parameters of the actual grid electricity price data in the PJM electricity market in the United States. The Kolmogorov fit test (KS) method is used to test the fitting effect. The market electricity consumption is described by the AR (1) model with the mean value recovery. The actual electricity consumption data of the PJM electricity market in the United States validates the validity of the model. According to the characteristics of the grid price obeying the fractal distribution, the formula to evaluate the portfolio risk of power company is derived. Based on this, a dynamic power purchase portfolio model of power supply company based on portfolio theory is constructed, and the equivalent model is transformed into a linear programming model to solve the problem. The example shows that the combined model of dynamic power purchase and supply constructed by the utility company can truly reflect the risk situation faced by the power supply company.