Strategic behavior in power markets under uncertainty
Strategic behavior in power markets under uncertainty
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不确定性下电力市场的战略行为
DOI：
10.1007/s12667-011-0032-y
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发表时间：
2011
期刊：
影响因子：
--
通讯作者：
Harrison M. Kim
中科院分区：
文献类型：
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作者：
Aswin Kannan;U. Shanbhag;Harrison M. Kim
我们考虑了一个两结算电力市场的设置，其中公司在远期市场和不确定的实时市场上竞争。提出了一个基于追索权的框架，其中企业在远期市场同时出价，并根据不确定性的实现在实时市场获得追索权。市场参与者既包括发电公司，也包括独立系统运营商(ISO)，后者被假设为最大限度地增加轮转收入。由此产生的随机博弈论问题被视为具有耦合策略集的纳什博弈，通常被称为广义纳什博弈。一般地，这类问题的原始变分条件是由拟变分不等式给出的。然而，原始-对偶空间中的相关互补问题具有单调性，它允许我们推导出适当的存在命题。由于样本空间的大小带来的挑战，平衡的计算变得复杂。我们提出了一种分布式迭代正则化技术，该技术被证明可以很好地随样本空间的大小而变化。最后，给出了该模型在某电网中的应用实例，为电力市场的设计和运营提供了参考。
We consider a setting of a two settlement power market where firms compete in the forward market and an uncertain real-time market. A recourse-based framework is proposed where firms make simultaneous bids in the forward market and take recourse in the real-time market contingent on the realization of uncertainty. The market participants include both generation firms as well as the independent system operator (ISO), the latter of which is assumed to maximize wheeling revenue. The resulting stochastic game-theoretic problem is seen to be a Nash game with coupled strategy sets, often referred to as a generalized Nash game. In general, the primal variational conditions of such problems are given by quasi-variational inequality. Yet, the associated complementarity problem in a primal-dual space admits a monotonicity property that allows us to derive an appropriate existence statement. Computation of equilibria is complicated by the challenge arising from the size of the sample-space. We present a distributed iterative regularization technique that is shown to scale well with the size of the sample-space. Finally, the paper concludes with the application of this model on an electrical network and provides insights on market design and operation.