| 引用本文: | 陈喜生,邹 斌.期望利润最大化报价策略的风险分析[J].电力系统保护与控制,2007,35(12):52-55,60. |
| CHEN Xi-sheng,ZOU Bin.Risk analysis of bidding strategy for expected profit maximization[J].Power System Protection and Control,2007,35(12):52-55,60 |
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| 摘要: |
| 在预测电价服从对数正态分布的条件下，推导出特定报价方案的利润的概率密度函数，并可获得竞价策略的利润－概率曲线，为竞价策略的风险分析提供了一个有效的分析工具。利用这个工具，还提供了期望利润最大化竞价策略模型的解的风险分析，结果表明，期望利润最大化的竞价策略通常存在较大的风险。而该文给出的利润的概率密度函数为风险分析提供了基础。 |
| 关键词: 电力市场 电价预测 报价策略 风险分析 概率密度函数 |
| DOI：10.7667/j.issn.1674-3415.2007.12.012 |
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| Risk analysis of bidding strategy for expected profit maximization |
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CHEN Xi-sheng, ZOU Bin
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School of Communication and Control Engineering, Southern Yangtze University, Wuxi 214122, China
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| Abstract: |
| In this paper, the profit’s probability density function of a bidding strategy is developed based on forecasting price with Lognormal distribution, so that the probability of the obtaining specified profit under the scenario can be known, a profit-probability curve can be drawn. The risk curve provides an effective tool for risk analysis. The risk of the bidding strategy obtained by the expected profit maximization is discussed using the profit-probability curve presented in this paper. It shows that risk is implied in this bidding strategy, the risk analysis is necessary. |
| Key words: electricity market price prediction bidding strategy risk analysis probability density function |
