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研究在电力市场背景下,当实时电力市场价格、最终顾客需求是随机变量时,作为期权合同购买方的供电公司面对多种期权合同和实时购电市场,采用最优期权合同组合的购电策略,根据每种期权合同能为供电公司带来收益的大小,推导出最优期权合同组合应满足的条件。介绍了求解每种期权合同最优购买数量的方法,并证明当可供选择的期权合同种类增加时,供电公司利润会增加。最后通过数例计算及计算机仿真说明了结论的应用。
Under the background of electricity market, when the real-time electricity market price and the final customer demand are random variables, the power supply company which is the purchaser of the option contract is faced with various options contracts and real-time electricity purchase market, and the electricity purchase using the optimal option contract combination Strategy, according to the size of the benefits that each option contract can bring to the utility company, the conditions that the optimal option portfolio should meet are deduced. The method to solve the optimal purchase quantity of each option contract is introduced and the profit of the utility company is increased when the types of options contracts available for selection increase. Finally, the application of the conclusion is illustrated through several examples and computer simulations.