电力市场竞价策略的博弈学习研究

华中科技大学硕士学位论文电力市场竞价策略的博弈学习研究姓名：冯丽申请学位级别：硕士专业：概率论与数理统计指导教师：周晓阳20060429IIEEE306;;;IIAbstractInthelastyears,theelectricpowerindustryhasexperiencedareformationofderegulationtotraditionalmonopolyandintroductionofcompetitionallovertheworld,sothetheoryandtechnologyinpowermarketbecomesaveryimportantresearchfield.Andresearchonapplicationsofgametheoryinpowermarketisalsoaworthwhileaspect.Inthispaper,gametheoryisintroducedtostudyonbiddingstrategiesofgenerationcompanies,analyzemarketpowerofgenerationcompaniesandmitigatemarketpower.Atfirstthepaperdescribesthedefinitionandcharacterofthepowermarket,andthewayofexchangeanddevelopmentpatternindetail.Developmenthistoryandactualityofpowermarketofabroadandcountryareintroduced.Inchaptertwothegametheoryisreferredespeciallyresearchachievementofthepracticeingenerator’sbidding.Onthebaseofthat,thecontentandvalueofthepaperismadeout.ThentheCournotadjustmentandfictitiousplayarerevieweddetailedandbroughtforwardanewlearningmethod:Price-Deviation-Adjust.AtlasttheIEEE30costparameter(sixgenerators)wasadoptedasexperimentcase.BasedonCournotadjustment,fictitiousplayandPrice-Deviation-Adjustthepaperdiscussthewayofgenerator’sbiddingstrategy.Atthesametimeshowtheevolutionofmarketclearingprice.Thentheresearchofgenerator’sstrategyandprofitismade.ThecontrastbetweenCournotadjustmentandfictitiousplaymodelisfound.Thedifferenceaboutequilibriumprice,processofpriceadjustmentandtrendofthegeneratortowithholdcapacityisverylarge.Atthesametimetheinfluenceofpriceadjustmentprocessonthemarketisdiscussed,inwhichsituationthepricesequencesfluctuate.Butabovethatisdiscussedinpeculiarliterature.IntheexperimentbasedonPrice-Deviation-Adjusttheprofitofgeneratorincreasesurprisinglybecauseoftheirmistake.Thenwegetsomeconclusion:inthepowermarketclosetooligarchmonopolythegeneratorwillgetexcessprofitifitbidonhigherpriceratherthanmarginalcostwhichwillleadunsteadinessofthemarket.Andtheconclusionishelpfultokeepawaytheriskofthemarket.Keywords:PowerMarket;GameTheory;CournotModel;IterationGame32006429_____20064292006429111.1[1][2][3][3]1.2[6]2[7]1)2)3)4)35)6)1.3[5]()()()()3:;()();1.3.1[37]1(1)(shorttermbilateralmarket)4(days-aheadmarket)(shortrunaheadmarket).1.3.2;:.31.3.3;,:5.:;()1.3.4:1);2);3)”;,4)6;(10%-20%)1.4[47,35,36]1.4.11.4.21N1N1N1.4.2.110%~15%,71.4.2.21)2)3)4)1.4.3(Pool)PoolPoolPool1)82)Pool1.4.41)2)3)9Pool::(Contractofdifferences,CtD)1.4.51.5[810][1214]3:(Cournot)(Bertrand)(SFE)1)(Cournot)ni10iq∑==+=niinqqqQ11PQ)()(1∑===niiqPQPPiCiniiiiCqPq−=∑=)(1π**1,nqq**1,nqq:max{iniiiiCqPq−=∑=)(1π}(1.1)2)(Bertrand)3)(SFE)SFE(1,,)iqin=)(QfP:)()(1nqqfQfP++==)(iCqTi)(iCiiqTPqi−=π)(iiqλ:max)(iCiiqTPqi−=πs.t.)(11qPλ=#(1.2)(nnqPλ=)(1nqqfP++=11:0)()()()()(=∂∂−∂∂=∂∂iiCiiiiqTPqIλαλαλαπ(1.3)Piq(5-4)(1.2)n4)3[4350]1.5.1[1617,39][5]10%,119892198920001990331NGC32000199720001)25%30%122)121997333)1998414)19995)PoolPoolPoolPPPPSPPoolPool1234PPP5PSP6PPPPPP=SMP+CECE=LOLP*(VOLL-SMP)SMPSystemMarginalPrice,CELOLPLossofloadprobability,VOLLValueoflostload,PSPPSP=PPP+UPLIFTUPLIFT13PSP1.5.2[1821]PXISOPXISO1PJMPXISO2NevadaERCOTISA,CAORTOMarket3PXISOPXISOPXISOPXISOPXISO[39~42]20002001[36]20011121.5%,;2001117[34-38]1)142)3)4)AB18901.5.3[6]808019961.5.4[8~11]“”19986151)2)3)20%4)162[9]2.1[1315]GameTheory[13]2.1.11)},,,,2,1{niN=2)3)174)2.1.21)2)(1)(2)2.2802018(commonknowledgeofrationality)[28]9019Nash20902.2.1KiiisS∈1,2,,iK=iSK12(,,,)Kssss=(,)iisss−=isi),,,,,(111Kiiisssss+−−=ii(,)iiiuss−i,2,1=t120000(,,,)Kssss=titits−1t+1()iititsBRs−+=()iitBRs−max(,)iiiitsSuss−∈iits−201()ttsfs+=,3,2,1=t12(,,,)Kttttssss=11()((),,())KKfsBRsBRs−−=tss→s()sfs=()iiisBRs−=1,,iK=Nash2.2.2iiS}),({iiiiiSss∈=σσ)(iisσiisK12(,,,)(,)Kiiσσσσσσ−==iσi111(,,,,,)iiiKσσσσσ−−+=i),(ii−=σσσi),(iissu−()(,)()()iiiiiiiiiiiisSsSuussssσσσ−−−−−∈∈=∑∑(2.1)iS−i),,,,,(111Kiiisssss+−−=11221111()()()()()()iiiiiiKKssssssσσσσσσ−−−−++=⋅⋅⋅⋅is−(2.1)()(,)(,)()()iiiiiiiiiiiiiisSsSuussssσσσσ−−−−−−∈∈=∑∑(2.2)2.2(,)()iiiiiiisSusssσ−−−−−∈∑111111111111111,,,,(,,,,,)()()()()iiiiKKiiiiKiiiiKKsSsSsSsSusssssssssσσσσ−−++−+−−++∈∈∈∈⋅⋅⋅⋅∑211i0iκiSR−+→iisS−−∈0()0iisκ−≥i2ti1−tits−−11111if()()0ifiitiiiittiitssssssκκ−−−−−−−−−==+≠iiSs−−∈∀(2.3)i32.3()()()iiiiiittiitsSsssκγκ−−−−−−∈=∑iiSs−−∈∀(2.4)itis−iitγ−4iitγ−max(,)iiiiituσσγ−∈Σ(2.5)t()itργ−2.5iitγ−()iitBRγ−it()()iiittBRργγ−−∈.5i220()()()iiiiiittssdstκκ−=iiSs∈∀(2.6)()iitdsisii2.2(,)(,)()iiiiiiiiiiisSEususssσσσ−−−−−−−∈=∑(2.7)iisiEσ−i−σis{}max(,)iiiiiisSEusσσ−−∈(2.8)iσ={()1isσ=()0,iiissSσ=∀∈iiss≠}ˆiσiσˆi−σi}),({iiiiiSss∈∀=σσ(,)(,}()iiiiiiiiiisSuEussσσσσσ−−−∈=⋅∑(,}()iiiiiiiisSEussσσσ−−∈≤⋅∑()()(,}iiiiiiiisSsEusσσσ−−∈=⋅∑(,}iiiiEusσσ−−=(,}()(,)iiiiiiiiiiSsEussuσσσσσ−−−∈=⋅=∑iσˆ2.82.52.3[25]1980,,(socialwelfare),,,,,,,(gaming)23,,,(oligopolymarket),()()(),,.[52~53]:;()[26][27][57]Roth-Erevlawofeffectpowerlawofpractice243[28][29][30][31][32][33][34]3.1Ki2()iiiiiiCqaqbqc=++Ki,,2,1=()iiqqλ=iiqq≤≤0(3.1.1)iqiiqiλ,λiqISO∑=−=KiirQq1)(λλ(3.1.2)Qr()iiqλλ=.iSiliisS∈(,)()(2)'llliiiiiiiiiiqssCqsaqbλλ==⋅=⋅+0iiqq≤≤(3.1.3)()'iiCq25i3.1.2()iiqqrQλλ−++=(3.1.4)()()ijjiqqλλ−≠=∑λ()()ijjiqqλλ−≠=∑[,]iiλ