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Risk management method and optimal system design of electricity market in the era of large scale deployment of distributed generation

分布式发电大规模部署时代电力市场风险管理方法与优化系统设计

基本信息

批准号：
21K14374
负责人：
松本拓史
金额：
$ 2.83万
依托单位：
Kanazawa University (2022)Central Research Institute of Electric Power Industry (2021)
依托单位国家：
日本
项目类别：
Grant-in-Aid for Early-Career Scientists
财政年份：
2021
资助国家：
日本
起止时间：
2021-04-01 至 2024-03-31
项目状态：
已结题

项目摘要

本年度は，当該テーマに関する研究について，主に以下の成果を得た．①風力発電事業リスクの低減のために，単項式をペイオフ関数にもつ標準型天候デリバティブを導入し，その取引スキームを開発した．特に，LASSO回帰に基づく取引戦略により，取引商品の種類や量を削減できることを実証し，高次の標準型デリバティブの取引が，ヘッジ効果の改善だけでなく取引関連コストの抑制にも有効であることを明らかにした．②風力発電事業における価格と量リスクの同時ヘッジ問題に対し，ノンパラメトリック回帰に基づくデリバティブポートフォリオを構築した．特に，複数の原資産やペイオフの非線形性を考慮することで，ヘッジ効果を改善できることなどを示した．③主成分誘導型スパース回帰（pcLasso）の手法を用いて，電力スポット価格の予測モデルを構築した．日本卸電力取引所（JPEX）のスポット価格に対して複数の気象変数が同時に及ぼす効果を可視化するとともに，pcLassoが従来型のスパース回帰よりも，パラメータ推定の信頼性や予測精度向上などの点で優れていることを明らかにした．なお，今年度中に，①については，国内外の会議で発表するとともに，査読付き国際学術誌に論文を投稿して採択された．また，②と③については，海外及び国内の会議で発表し，投稿した論文が議事録に掲載された．その他，上記の研究に加えて，昨年度に実施した太陽光発電の予測手法やJEPX価格の週次予測の研究について，複数の国際会議で発表を行うなどした．口頭発表としては，国内外の会議やワークショップにおけるにおける一般・招待講演を，合計で7件実施した．

This year, when the following research results are successful, the following results are reported. 1. The results show that the following results are successful. 1. This year, the following research results are successful. 1. This year, the following results have been obtained. 1. In the current year, the following results have been obtained. 1. In the current year, the following results have been obtained. 1. In this year, the following results have been obtained. 1. In this year, the following results have been obtained. 1. In this year, the following results have been obtained. 1. In order to obtain information about the quality of goods, the quality of the product, the standard system, the standard system, the This is the first time to improve the performance of the original database, and to improve the accuracy of the test. 3. The principal component analysis is based on the use of the principal component test (pcLasso). The Japanese unloading Power supply Institute (JPEX) reports that the number of complex data is in the same time and that the data can be changed at the same time, and that the pcLasso model can be returned to the computer, and that the reliability is presumed to be accurate and accurate. In the middle of this year, 1. Both at home and abroad, please pay the national science journal for contributions, 2-3 for overseas and domestic meetings, and for both overseas and domestic conferences. In the year of last year, there was a lot of research on the technique, JEPX, and the number of items on the table of the International Committee of the International Committee. the oral table shows that both at home and abroad, there are meetings at home and abroad, and there are seven pieces of entertainment in total.