可再生能源高度渗透的电力市场中的合同设计：两阶段方法
Contract design in electricity markets with high penetration of renewables: A two-stage approach
摘要：
自电力市场自由化以来，风险规避与金融衍生物之间的相互作用日益受到关注。这方面的一个重要挑战是如何开发经济有效和成本效益高的模型，将可再生能源纳入电力市场，这是一个相对较新和令人兴奋的研究领域。本文提出了一个博弈论均衡模型，描述了寡头发电商之间的相互作用，在一个两阶段的电力市场的存在下，高渗透率的RES。鉴于传统发电机的发电成本的不确定性和可再生能源发电机的间歇性和随机容量，我们考虑一个单一的期货合约市场，在现货市场的能源交付发生之前被清除。我们引入物理和金融合同来评估其性能，评估其对电力市场结果的影响，并研究这些如何取决于可再生能源的渗透水平。由于市场参与者通常是风险厌恶的，一个连贯的风险措施被引入到处理风险中性和风险厌恶发电机。我们推导出合同之间的解析关系，研究不确定性的影响，通过数值例子测试所提出的均衡模型的性能及其主要性质。我们的研究结果表明，整体电价，发电成本，利润和传统发电机的数量减少，而可再生能源发电机的数量和利润增加可再生能源的渗透。因此，物理和金融合同都有效地减轻了不确定性的影响，并有助于将可再生能源融入电力系统。
英文摘要：
The interplay between risk aversion and financial derivatives has received increasing attention since the advent of electricity market liberalization. One important challenge in this context is how to develop economically efficient and cost-effective models to integrate renewable energy sources (RES) in the electricity market, which constitutes a relatively new and exciting field of research. This paper proposes a game-theoretical equilibrium model that characterizes the interactions between oligopolistic generators in a two-stage electricity market under the presence of high RES penetration. Given conventional generators with generation cost uncertainty and renewable generators with intermittent and stochastic capacity, we consider a single futures contract market that is cleared prior to a spot market where the energy delivery takes place. We introduce physical and financial contracts to evaluate their performance assess their impact on the electricity market outcomes and examine how these depend on the level of RES penetration. Since market participants are usually risk-averse, a coherent risk measure is introduced to deal with both risk-neutral and risk-averse generators. We derive analytical relationships between contracts, study the implications of uncertainties, test the performance of the proposed equilibrium model and its main properties through numerical examples. Our results show that overall electricity prices, generation costs, profits, and quantities for conventional generators decrease, whereas quantities and profits for RES generators increase with RES penetration. Hence, both physical and financial contracts efficiently mitigate the impact of uncertainties and help the integration of RES into the electricity system.
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