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

カテゴリ: 論文誌(論文単位)

グループ名: 【C】電子・情報・システム部門

発行日: 2016/05/01

タイトル(英語): Retailer's Power Procurement Considering Risk from Volatile Market Prices utilizing the Fractile Model in Chance Constraint Problem

著者名: 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）

著者名(英語): Shinya Sekizaki (Department of Electrical Systems and Mathematical Engineering, Faculty of Engineering, Hiroshima University), Ichiro Nishizaki (Department of Electrical Systems and Mathematical Engineering, Faculty of Engineering, Hiroshima University), Tomohiro Hayashida (Department of Electrical Systems and Mathematical Engineering, Faculty of Engineering, Hiroshima University)

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　　Electricity market model，Electricity deregulation，Forward contract，Retailer，Consumer，Fractile model

要約(英語): 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.

本誌: 電気学会論文誌C（電子・情報・システム部門誌） Vol.136 No.5 （2016） 特集：PID制御ベースのコントローラの高機能化アプローチ

本誌掲載ページ: 732-745 p

原稿種別: 論文／日本語

電子版へのリンク: https://www.jstage.jst.go.jp/article/ieejeiss/136/5/136_732/_article/-char/ja/