vine-Copula Based Dynamic Risk VaR Assessment Method for Operation Profit and Loss of Generation Companies

被引：0

作者：

Xie M. ^{[1
]}

Hu X. ^{[1
]}

Ke S. ^{[2
]}

Cheng P. ^{[1
]}

Liu M. ^{[1
]}

机构：

[1] School of Electric Power, South China University of Technology, Guangzhou

[2] State Grid Fuzhou Power Supply Company, Fuzhou

来源：

Dianli Xitong Zidonghua/Automation of Electric Power Systems | 2019年 / 43卷 / 05期

关键词：

Dynamic economic dispatch; Electricity market; Operating profit and loss of generation companies (GenCos); Value at risk (VaR); Vine-Copula;

D O I：

10.7500/AEPS20180612006

中图分类号：

学科分类号：

摘要：

In the power market environment, the fluctuation of load and electricity price, the random output of renewable power supply, the change of network topology, the adjustment of the system operation mode and a large number of uncertainties add risks for the operating income of generation companies (GenCos). In order to help GenCos accurately evaluate their own risks and formulate appropriate bidding strategies and generating unit plans, a vine-Copula theory based value at risk (VaR) evaluation model is presented for the profit and loss of GenCos. Firstly, based on the AC power flow, the optimal power flow model for day-ahead dynamic economic dispatch of power grid is established to calculate the locational marginal price. Then, the pair-Copula theory is introduced to construct the high dimensional vine-Copula dependent structure of the profit and loss functions of GenCos. Finally, the VaRs of operating combined risk of GenCos under different confidence levels are calculated based on the definition of VaR. The example of IEEE 39-bus system is taken to verify the effectiveness of the proposed model and method. © 2019 Automation of Electric Power Systems Press.

引用

页码：39 / 45and52

页数：4513

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