Valuation and Optimal Operation of Electric Power Plants in Competitive Markets
Valuation and Optimal Operation of Electric Power Plants in Competitive Markets
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竞争市场中电厂的估值和优化运行
DOI：
10.1287/opre.1040.0117
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发表时间：
2004
期刊：
影响因子：
--
通讯作者：
H. Rasmussen
中科院分区：
文献类型：
--
作者：
Matt Thompson;M. Davison;H. Rasmussen
本文提出了一种在电力市场环境下水电和火电机组价值评估和优化运行的算法。真实的期权理论被用来推导非线性偏积分微分方程（PIDE）的两种类型的设施的估值和最优经营策略。该方程的目的是将广泛的一类现货价格模型，可以表现出相同的时间依赖性，均值回复动态和价格峰值中观察到的大多数电力市场。特别注意的是真实的发电机的操作特性。对于火力发电厂，这些特性包括可变的启动时间和成本，控制响应时间滞后，最小发电水平，非线性输出函数，以及斜坡率的结构限制。对于水力发电机组，水头效应和环境约束得到解决。我们用抽水蓄能设施和火力发电厂的数值例子说明了模型。这种PIDE框架可以实现高水平的计算速度和准确性，同时结合了广泛的现货价格动态和操作特性。
We present an algorithm for the valuation and optimal operation of hydroelectric and thermal power generators in deregulated electricity markets. Real options theory is used to derive nonlinear partial-integro-differential equations (PIDEs) for the valuation and optimal operating strategies of both types of facilities. The equations are designed to incorporate a wide class of spot price models that can exhibit the same time-dependent, mean-reverting dynamics and price spikes as those observed in most electricity markets. Particular attention is paid to the operational characteristics of real power generators. For thermal power plants, these characteristics include variable start-up times and costs, control response time lags, minimum generating levels, nonlinear output functions, and structural limitations on ramp rates. For hydroelectric units, head effects and environmental constraints are addressed. We illustrate the models with numerical examples of a pump storage facility and a thermal power plant. This PIDE framework can achieve high levels of computational speed and accuracy while incorporating a wide range of spot price dynamics and operational characteristics.