Risk-averse and strategic prosumers: A distributionally robust chance-constrained MPEC approach
Risk-averse and strategic prosumers: A distributionally robust chance-constrained MPEC approach
复制标题
规避风险和战略产消者：分布稳健的机会约束 MPEC 方法
DOI：
10.1007/s12667-022-00561-0
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发表时间：
2022
期刊：
影响因子：
--
通讯作者：
Chen, Yihsu
中科院分区：
文献类型：
--
作者：
Ramyar, Sepehr;Tanaka, Makoto;Chen, Yihsu
根据联邦能源管理委员会第2222号命令的规定，拥有分布式能源资源的产消者预计将发挥重要作用，对市场结果产生重大影响。本文通过将一个厌恶风险的产消者指定为市场中的Stackelberg领导者来评估其市场力潜力。我们制定的问题作为一个数学规划的平衡约束与分布鲁棒的机会约束框架，以考虑可再生能源发电的不确定性。数值结果表明，产消者的策略取决于可再生能源发电不确定性的大小和风险规避的程度，共同影响其可再生资源的感知数量。与古诺模型和完全竞争模型相比，规避风险的斯塔克尔伯格模型总是为生产消费者带来更高的收益。此外，产消者行使买方市场势力比行使卖方市场势力更有效。当产消者不那么厌恶风险时，情况就不一样了。这突出表明，必须了解生产消费者作为消费者或生产者的作用，以及生产消费者在评估其与批发市场的互动时所面临的风险。
Under the ruling of FERC Order 2222, prosumers who own distributed energy resources are expected to play an essential role that can significantly affect the market outcomes. This paper assesses the market power potential of a risk-averse prosumer by designating it as a Stackelberg leader in the market. We formulate the problem as a mathematical program with equilibrium constraints with a distributionally robust chance-constrained framework to account for the renewable generation uncertainty. The numerical results demonstrate that the prosumer’s strategy depends on the magnitude of renewable generation uncertainty and the degree of risk aversion, which jointly affect the perceived quantity of its renewable resources. The risk-averse Stackelberg case always yields a higher payoff for the prosumer compared to the Cournot and perfect competition cases. Moreover, it is more potent for the prosumer to exercise buyer’s market power rather than seller’s market power. The situation worsens when the prosumer is less risk averse. This highlights the importance of understanding the role of the prosumer acting either as a consumer or as a producer and the risk faced by the prosumer when evaluating its interaction with the wholesale market.