新英格兰独立系统运营商（ISO-NE）日前辅助服务的行权价格优化
Strike Price Optimization for ISO New England's Day-Ahead Ancillary Services
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中文总结 AI 辅助
针对ISO-NE日前辅助服务行权价格的效率-可靠性权衡问题，开发优化框架，利用条件价格分布推导下界证明，提出基于阈值计算的精确解法，发现高热耗率燃气轮机更可能制约行权价格选择。
中文摘要 AI 辅助
新英格兰独立系统运营商（ISO-NE）的日前辅助服务倡议将备用产品作为针对实时能源价格的金融看涨期权进行结算。全系统的行权价格会形成效率与可靠性之间的权衡：提高行权价格会降低竞争性备用报价，但会削弱资源承担准备成本并保持可用于实时性能的激励。现有的行权价格规则未明确考虑异质资源激励和备用要求。我们开发了一种优化框架，用于选择最高行权价格，同时确保有足够的资源保留准备激励并共同满足备用要求。由于资源的准备决策可能影响最终的实时价格分布，其激励取决于不可观测的反事实情况。为解决这一问题，我们仅利用可用的条件价格分布和资源价格影响的边界，推导了一个紧的下界证明。我们表明，每个资源通过单一激励阈值进入优化，且任何有限的最优行权价格都出现在这些阈值之一处。这产生了一种基于阈值计算和少量线性可行性检查的易处理精确求解方法。利用重构的ISO-NE条件价格分布和代表性燃气资源，我们发现高热耗率的燃气轮机比联合循环资源更可能制约行权价格的选择。
英文摘要
ISO New England's (ISO-NE) Day-Ahead Ancillary Services Initiative settles reserve products as financial call options on real-time energy prices. The system-wide strike price creates an efficiency-reliability tradeoff: increasing it lowers competitive reserve offers, but weakens resources' incentives to incur preparation costs and remain available for real-time performance. The existing strike price rule does not explicitly account for heterogeneous resource incentives and reserve requirements. We develop an optimization framework that selects the highest strike price while ensuring that enough resources retain an incentive to prepare and collectively satisfy the reserve requirements. Because a resource's preparation decision may affect the resulting real-time price distribution, its incentive depends on an unobservable counterfactual. To address this, we derive a tight lower-bound certificate using only the available conditional price distribution and a bound on the resource's price impact. We show that each resource enters the optimization through a single incentive threshold and that any finite optimal strike price occurs at one of these thresholds. This yields a tractable exact solution method based on threshold calculations and a small number of linear feasibility checks. Using reconstructed ISO-NE conditional price distributions and representative gas-fired resources, we find that higher heat-rate combustion turbines are more likely than combined-cycle resources to constrain the strike price choice.
发表机构
- Operations Research Center, Massachusetts Institute of Technology（麻省理工学院操作研究中心）
- MIT Sloan School of Management（麻省理工学院斯隆管理学院）
- ISO New England（新英格兰独立系统运营商）
机构由 AI 辅助整理，请以论文原文为准。
