日前能源市场中的黑天鹅对冲
最优化与控制
2025-10-17 v1
摘要
可再生能源发电单位必须在生产不确定性和实时价格不确定性都存在的情况下提交日前市场报价。尽管预测对决策提供了有价值的指导，但少有且难以预测的极端事件（即所谓的黑天鹅）可能导致巨大的财务损失。本文将提名问题建模为最优传输基于分布鲁棒优化（OT-DRO）的一个实例，这一原则框架通过考虑偏离的严重程度以及其发生概率，平衡了风险与性能。 resulting formulation yields a tractable, data-driven strategy that remains competitive under normal conditions while providing effective protection against extreme price spikes. Using four years of Finnish wind farm and market data, we demonstrate that OT-DRO consistently outperforms forecast-based nominations and significantly mitigates losses during black swan events.
引用
@article{arxiv.2510.14328,
title = {Hedging against Black Swans in Day-Ahead Energy Markets},
author = {Liviu Aolaritei and Boubacar Bangoura and Saverio Bolognani and Nicolas Lanzetti and Florian Dörfler},
journal= {arXiv preprint arXiv:2510.14328},
year = {2025}
}