论文标题
可再生能源生产商的分配强大的交易策略
Distributionally robust trading strategies for renewable energy producers
论文作者
论文摘要
可再生能源发电是通过电力市场提前一段时间提供的。然后，这导致了不确定性下的决策问题，这可能被视为新闻企业的问题。与已知未成年和过度处罚的常规案件相反，在电力市场的情况下，这种处罚尚不清楚，难以估算。此外，实际上，仅因超额或未成年而不受惩罚，而不是两者兼而有之。因此，对于在电力市场中提供的价格制剂参与者来说，我们研究了一种略有不同的新闻企业问题，我们将其称为Bernoulli Newsvendor问题。在证明其解决方案与经典新闻企业问题的解决方案是一致的之后，我们然后引入了分布强劲的版本，模棱两可的发电概率预测和Bernoulli变量成功的机会都可能是歧义性的。两种版本的分销功能强大的Bernoulli Newsvendor问题都允许封闭式解决方案。最终，我们使用仿真研究以及现实世界中的案例研究应用程序来说明该方法的工作和好处。
Renewable energy generation is offered through electricity markets, quite some time in advance. This then leads to a problem of decision-making under uncertainty, which may be seen as a newsvendor problem. Contrarily to the conventional case for which underage and overage penalties are known, such penalties in the case of electricity markets are unknown, and difficult to estimate. In addition, one is actually only penalized for either overage or underage, not both. Consequently, we look at a slightly different form of a newsvendor problem, for a price-taker participant offering in electricity markets, which we refer to as Bernoulli newsvendor problem. After showing that its solution is consistent with that for the classical newsvendor problem, we then introduce distributionally robust versions, with ambiguity possibly about both the probabilistic forecasts for power generation and the chance of success of the Bernoulli variable. Both versions of the distributionally robust Bernoulli newsvendor problem admit closed-form solutions. We finally use simulation studies, as well as a real-world case-study application, to illustrate the workings and benefits from the approach.
