機会制約付き最適化問題におけるFractile modelを用いた市場価格変動リスクを考慮した小売業者の電力調達問題

• 関崎 真也

  広島大学大学院工学研究院電気電子システム数理部門

• 西崎 一郎

  広島大学大学院工学研究院電気電子システム数理部門

• 林田 智弘

  広島大学大学院工学研究院電気電子システム数理部門

書誌事項

タイトル別名

• Retailer's Power Procurement Considering Risk from Volatile Market Prices utilizing the Fractile Model in Chance Constraint Problem
• キカイ セイヤク ツキ サイテキ カ モンダイ ニ オケル Fractile model オ モチイタ シジョウ カカク ヘンドウ リスク オ コウリョ シタ コウリギョウシャ ノ デンリョク チョウタツ モンダイ

抄録

This paper presents a stochastic decision making framework of the retailer for the power procurement in the deregulated electricity market taking into account the risk induced by the volatile market prices. Unlike conventional related literature, the paper incorporates the three types of trades, which are a forward contract, a spot market, and a real-time market for adjusting the imbalance, in the transaction model with rational responses of the consumers to the selling prices offered by the retailer. For the risk hedge using the forward contract, it is quite significant to reflect the risk attitude of the retailer on decision making in market transactions. In the literature, the weighting method is often used to formulate the retailer's decision making for the power procurement. In the weighting method, however, it is difficult to determine both the weighting coefficients and the confidential level associated with the risk so as to reflect the risk attitude of the retailer adequately, particularly in the bi-level programming problem. In this paper, in order to naturally model the retailer's decision making, we employ the fractile model in which the target variable is maximized subject to the probability that the profit is not less than the target variable exceeds a given assured level given by the retailer according to the risk attitude. Through the computational experiments, we demonstrate the retailer's behavior with satisfactory level for the profit and risk in the deregulated electricity market.

収録刊行物

• 電気学会論文誌Ｃ（電子・情報・システム部門誌）

  電気学会論文誌Ｃ（電子・情報・システム部門誌） 136 (5), 732-745, 2016

  一般社団法人 電気学会

キーワード

• 電力市場モデル
• 電力自由化
• 先渡取引
• 小売業者
• 需要家
• 分位点モデル

詳細情報

• CRID: 1390001204608168704
• NII論文ID: 130005149237
• NII書誌ID: AN10065950
• DOI: 10.1541/ieejeiss.136.732
• ISSN: 13488155
• ISSN: 03854221
• NDL書誌ID: 027425704
• Web Site: https://ndlsearch.ndl.go.jp/books/R000000004-I027425704
• Web Site: https://www.jstage.jst.go.jp/article/ieejeiss/136/5/136_732/_pdf
• 本文言語コード: ja
• データソース種別:
  • JaLC
  • NDL
  • Crossref
  • CiNii Articles
  • KAKEN
• 抄録ライセンスフラグ: 使用不可