基于鲁棒均值-下半偏差模型的供电公司购电组合策略
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引用本文:李应求,田琴,戴志锋.基于鲁棒均值-下半偏差模型的供电公司购电组合策略[J].经济数学,2014,(4):14-19
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李应求,田琴,戴志锋 (长沙理工大学 数学与计算科学学院,湖南 长沙 410114) 
中文摘要:电力市场中,日前市场购电电价的随机波动,给供电公司的投资带来了一定的收益风险,因而供电公司需要在不同的市场中合理分配购电电量分散投资,以实现自身收益率尽可能大的同时承受的风险最小.供电公司在多市场中购电电价呈随机波动的特性,本文用均值-下半偏差作为购电风险测度,并用鲁棒优化处理电价的不确定性,建立了供电公司鲁棒均值-下半偏差(Robust Mean Semi-Deviation)购电策略优化模型.最后利用广西电网公司提供的数据进行实证分析,验证了模型的有效性和适用性,表明此模型对供电公司的投资组合决策具有一定的参考价值和指导意义.
中文关键词:鲁棒优化  均值-下半偏差  购电组合策略
 
Purchasing Portfolio Strategy for Load Serving Entities Based on Robust Mean-semi Deviation Model
Abstract:In the electricity market, the current market price of electric power is stochastic, which has brought some investment risk to the load serving entities(LSE). So the load serving entities need different market strategies for disperse investment in order to maximize yield while minimizing risk. According to the characteristics of random fluctuation of electricity price, a robust mean-semi deviation model was presented for developing the optiomal electricity purchasing strategy in multiple markets, which quantized the risk of LSES with the average-semi deviation and applied robust optimization process price uncertainty. Finally, the GX Power Grip Corp(GXPGR)’s date for empirical analysis was used to demonstrate the validity and applicability of the model.Therefore, this paper has guiding significance in building portfolio decision model for the power supply companies.
keywords:robust optimization  mean semi-deviation  electricity purchasing portfolio strategy
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