第47卷第4期电网技术Vol.47No.42023年4月PowerSystemTechnologyApr.2023文章编号：1000-3673（2023）04-1512-11中图分类号：TM721文献标志码：A学科代码：470·40考虑夏普比率的虚拟电厂日前投标策略王伟韬，王旭，蒋传文，白冰青，张锞（电力传输与功率变换控制教育部重点实验室(上海交通大学)，上海市闵行区200240）DayAheadBiddingStrategyforVirtualPowerPlantsConsideringSharpeRatioWANGWeitao,WANGXu,JIANGChuanwen,BAIBingqing,ZHANGKe(KeyLaboratoryofControlofPowerTransmissionandConversion(ShanghaiJiaoTongUniversity),MinistryofEducation,MinhangDistrict,Shanghai200240,China)1ABSTRACT:Duetotheexistenceoftheoutputuncertaintyofwindpower/photovoltaicunitsandtheloadforecastingerrors,theday-aheadbiddingbehaviorofthevirtualpowerplantsfacesrisks,whiletheriskaversioncoefficientstillneedstobedeterminedbytheriskmanagementstochasticoptimizationappliedtotheday-aheadbidding.TheSharpeRatiomeasuresboththereturnsandtherisks,anditcanrealizetheParetooptimizationoftherisksandthereturnswithoutusingtheriskaversioncoefficient,whichhasbeenwidelyusedinevaluatingtheperformanceofportfolioandtheoperatingefficiencyofthecapitalmarket.Inthispaper,theday-aheadbiddingbehaviorofthevirtualpowerplantsiscomparedtotheinvestmentportfolio.AimingatthemaximumSharpeRatio,theuncertaintyofthewindpower,thePVoutput,theloadandtheelectricitypriceischaracterizedbythescenariogenerationmethod,andthescenarioevaluationindexisintroduced.Theday-aheadandreal-timestochasticoptimizationbiddingstrategyofthevirtualpowerplantsconsideringtheSharpeRatioisproposed.TheresultsshowthatthebiddingstrategyaimingatthemaximumSharpeRatioreducesthesubjectivityofthedecisionandmodifiestheriskaversioncoefficientwhentheequipmentparameterschange.Thevalidityofthemodelisverifiedcomparedwiththecalculationresultsofthetraditionalriskmanagementmethod.KEYWORDS:virtualpowerplant;powerspotmarket;stochasticprogramming;conditionalvalueatrisk;Sharperatio摘要：由于风电、光伏机组出力不确定性及负荷等预测误差的存在，虚拟电厂日前投标行为面临风险，而目前应用于日前投标的风险–收益多目标...
