[论文解读] Price Volatility in Electricity Markets: A Stochastic Control Perspective.

Avinash Mohan, Shie Mannor+1 more|arXiv (Cornell University)|Feb 17, 2020

Smart Grid Energy Management参考文献 6被引用 4

一句话总结

本文将电力市场建模为离散时间受控随机过程，以分析社会福利与价格波动性之间的权衡。研究发现，降低价格波动性必然牺牲社会福利，存在一种在高可再生能源渗透率下的‘波动性悬崖’现象，并定义了市场特定的‘容量区域’，以量化在给定波动性水平下的可实现福利水平。

ABSTRACT

Spot prices in deregulated electricity markets in the United States and Europe have historically displayed high volatility, leading to loss of revenue in high electricity costs, weakening economic growth and lost business from long blackouts. With rapidly increasing supply of intermittent solar and wind-based power, conditions in the foreseeable future are only expected to deteriorate. Geographic price variations, while capable of being quite dramatic themselves, are a natural outcome of Locational Marginal Pricing (LMP) that takes finite transmission capacity and congestion into consideration, to produce localized electricity prices. Temporal price volatility (considerable fluctuation over periods as short as an hour in particular), however, is harder to explain. In an effort to unearth the cause of these price fluctuations, we propose to model the electricity market as a discrete time controlled stochastic process. While this is a stylized model, it facilitates the analysis of spot markets and helps exclude extraneous details that do not contribute significantly to the discussion. We show that in any such market, improving social welfare must necessarily be traded off with volatility in prices, i.e., it is impossible to reduce volatility in the price of electricity without sacrificing social welfare. We also show that, akin to communication systems, every market has a Capacity Region associated with it, that dictates and quantifies how much welfare is achievable at a given level of price volatility. In the context of renewable power sources, our investigation uncovers an intriguing phenomenon we term the volatility cliff, which suggests that with increasing penetration of intermittent renewable production, price volatility could increase to unacceptable levels, prompting the need for a complete restructuring of existing electricity markets.

研究动机与目标

• 理解在电力市场中，尽管基本面稳定，但导致高时间价格波动性的根本原因。
• 研究现货市场中社会福利与价格波动性之间固有的权衡关系。
• 开发一种随机控制框架，将电力市场建模为受控动力系统。
• 利用‘容量区域’概念，量化在不同价格波动性水平下可实现的社会福利上限。
• 研究间歇性可再生能源发电增加对市场波动性和系统稳定性的影响。

提出的方法

• 将电力市场建模为离散时间受控随机过程，以抽象出非关键细节。
• 应用随机控制理论，分析市场参与者的决策如何影响价格动态。
• 引入‘容量区域’以表示特定市场中可实现的福利-波动性组合集合。
• 利用该框架推导出福利与波动性的理论边界，类似于信息论中的容量极限。
• 通过模拟不断提高可再生能源渗透率，分析间歇性对价格波动性的影响。
• 识别出一种‘波动性悬崖’现象：可再生能源渗透率的微小增加会导致价格波动性突然且不可接受地飙升。

实验结果

研究问题

• RQ1 尽管基本面稳定，电力市场中高时间价格波动性的根本原因是什么？
• RQ2 是否可能在不牺牲社会福利的前提下降低电力市场的价格波动性？
• RQ3 间歇性可再生能源的渗透率水平如何影响价格波动性？
• RQ4 在给定价格波动性水平下，可实现的社会福利理论极限是什么？
• RQ5 是否存在一个临界阈值，超过该阈值后，价格波动性会因可再生能源渗透率的微小增加而急剧上升？

主要发现

• 社会福利与价格波动性之间存在根本性权衡：降低波动性必然导致社会福利下降。
• 每个电力市场都存在一个‘容量区域’，用以定义在任一给定价格波动性水平下可实现的最大社会福利。
• 随着间歇性可再生能源渗透率的提高，价格波动性可能突然增加，导致‘波动性悬崖’现象。
• 波动性悬崖意味着可再生能源发电的微小增加可能引发不成比例且不可接受的波动性上升。
• 随机控制框架为评估市场韧性并指导电力市场结构性改革提供了定量工具。
• 研究结果表明，在高可再生能源渗透率下，现有市场设计可能不足，需进行根本性重构。