论文标题
欧洲现货电力市场的基本游戏理论模型和近似全球NASH均衡计算
A fundamental Game Theoretic model and approximate global Nash Equilibria computation for European Spot Power Markets
论文作者
论文摘要
现场电力市场在游戏理论框架下被考虑，在这种框架下，冒险的玩家向市场清算机制提交订单，以最大程度地提高自己的公用事业。与当前在欧洲的实践一致，市场清算机制被建模为社会福利最大化问题，具有区域定价，我们考虑了不灵活的需求，电网的物理限制以及容量受限的生产商。引入了一种基于确定的最坏情况的新型非参数风险规避，这降低了策略变量的维度并确保价格的界限。通过利用这些特性，我们设计了雅各比和高斯 - 西德尔迭代方案来计算近似全球纳什平衡，这与基于衍生物的局部平衡形成了鲜明对比。我们的方法在2019 - 2020年期间应用于中西欧（CWE）现货市场的现实世界数据，并很好地代表了历史时间的价格序列。通过解决真实招标的假设，我们设计了一种基于假设检验的简单方法来推断以及何时战略性地（而不是真实地）进行竞标，并发现证据表明，在CWE地区，战略招标可能相当明显。
Spot electricity markets are considered under a Game-Theoretic framework, where risk averse players submit orders to the market clearing mechanism to maximise their own utility. Consistent with the current practice in Europe, the market clearing mechanism is modelled as a Social Welfare Maximisation problem, with zonal pricing, and we consider inflexible demand, physical constraints of the electricity grid, and capacity-constrained producers. A novel type of non-parametric risk aversion based on a defined worst case scenario is introduced, and this reduces the dimensionality of the strategy variables and ensures boundedness of prices. By leveraging these properties we devise Jacobi and Gauss-Seidel iterative schemes for computation of approximate global Nash Equilibria, which are in contrast to derivative based local equilibria. Our methodology is applied to the real world data of Central Western European (CWE) Spot Market during the 2019-2020 period, and offers a good representation of the historical time series of prices. By also solving for the assumption of truthful bidding, we devise a simple method based on hypothesis testing to infer if and when producers are bidding strategically (instead of truthfully), and we find evidence suggesting that strategic bidding may be fairly pronounced in the CWE region.
