考虑响应违约风险的聚合商双重市场投标策略

负荷聚合商(load aggregator, LA)集成需求侧资源参与双重市场(能量市场和备用市场)投标, 需要根据市场运营规则对具有不同行为特性的需求侧资源优化组合。文章考虑双重市场对响应资源的技术要求, 从负荷削减量和响应时间2个方面体现需求侧资源的不确定性, 引入条件风险价值(conditional value at risk, CVaR)理论, 考虑备用市场响应超时的违约风险, 制定其在双重市场的资源集成优化投标策略, 以响应电量不足期望评估聚合商参与双重市场的响应可靠性。算例分析不同风险偏好系数下聚合商利润与风险的动态关系, 优化需求侧资源的容量配置, 为聚合商双重市场的投标和风险度量提供参考。

Load aggregator(LA) integrates demand-side resources to participate in bidding in dual markets(energy market and reserve market), and needs to optimize the combination of demand-side resources with different behavior characteristics according to market operation rules. Considering the technical requirements for response resources in dual market, this paper reveals the uncertainty of demand-side resources from two aspects of load reduction and response time, introduces conditional value at risk(CVaR) theory, considers the default risk of response timeout in reserve market, formulates its bidding strategy of resource integration optimization in dual market, and evaluates LA's response reliability with the expectation of response power shortage. An example is given to analyze the dynamic relationship between profit and risk of aggregators under different risk preferences, and optimize the capacity allocation of demand-side resources, so as to provide reference for bidding and risk measurement of aggregators in dual market.