具有非对称预测的电力市场机会约束均衡
Chance-Constrained Equilibrium in Electricity Markets With Asymmetric Forecasts
摘要：
本文建立了一个具有非对称可再生能源预测的电力市场随机均衡模型。在我们的设置中，市场参与者优化他们的利润使用公共信息的条件期望的能源生产，但使用私人信息的预测误差分布。这些信息以样本的形式给出，并通过机会约束纳入市场参与者的利润最大化优化。我们通过改变参与者私人信息的样本量来模拟信息不对称。我们发现，随着更多的信息，均衡逐渐收敛到理想的解决方案提供的完美信息的情况。然而，在信息稀缺的情况下，我们表明，市场收敛到理想的均衡，如果参与者推断预测误差分布从统计特性的数据在手或分享他们的私人预测。
英文摘要：
We develop a stochastic equilibrium model for an electricity market with asymmetric renewable energy forecasts. In our setting, market participants optimize their profits using public information about a conditional expectation of energy production but use private information about the forecast error distribution. This information is given in the form of samples and incorporated into profit-maximizing optimizations of market participants through chance constraints. We model information asymmetry by varying the sample size of participants' private information. We show that with more information available, the equilibrium gradually converges to the ideal solution provided by the perfect information scenario. Under information scarcity, however, we show that the market converges to the ideal equilibrium if participants are to infer the forecast error distribution from the statistical properties of the data at hand or share their private forecasts.
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