可再生能源配额机制下电力投资最优序贯决策模型

摘要/Abstract

摘要：

要求强制性购买一定数量的可再生能源电力和基于绿色证书交易市场的可再生能源配额机制已成为刺激可再生能源投资的主要政策工具，同时大型可再生能源装机部署已实现分布安装。可再生能源配额机制和装机容量受到资源禀赋等约束的条件下，投资者在规避证书价格和市场电价不确定性的同时，需要制定序贯投资决策。理论方面，使用实物期权方法，给出了关于投资时间和装机容量的最优序贯决策。实验方面，通过最小二乘蒙特卡洛模拟，研究了中国近海离岸风电投资的序贯投资决策。结果显示，将较小的装机容量先行投资，逐步完成总装机容量部署，有利于投资者发掘市场信息和规避风险，相比于一次性完成全部容量投资，显著地增加了项目价值和提早了项目部署的完成时间。理论和数值方法，为投资者增加项目收益，有效利用投资时间柔性，提供了重要的决策工具。同时较高的技术成本或较低的初始证书价格，均不会使得投资者较早完成项目部署。对于政策制定者，配额机制的成功施行，本质上需要与可再生能源技术进步程度和对绿色电力的需求相一致。

关键词: 可再生能源配额, 不确定性, 实物期权, 序贯决策, 最小二乘蒙特卡罗模拟

Abstract:

By requiring retail electricity suppliers to procure a certain quantity of renewable power, renewable portfolio standards (RPSs) backed by renewable energy certificates (RECs) have emerged as the principal policy for drivers of renewable energy investments. Also, the deployment capacity of large-scale renewable energy has been installed in smaller in stages. In the case of RPSs and capacity with constraints of resource endowment, the investors have to hedge the risks of certificate and electricity prices. In parallel, they have to formulate the optimal sequential investments with respect to the investment time and capacity. Theoretically, the real option scheme is employed to derive the optimal sequential investments. Experimentally, the sequential investments are specifically studied with respect to value of offshore wind in China by the Least Squares Monte Carlo simulation approach. The results reveal that the scheme, investment with slightly small capacity ahead then completing the total capacity gradually, enables the investors to explore the market information and to reduce the exposure to unknown risks effectively. Compared to the total capacity invested by one investment only, the scheme above would strikingly increase the investment value. Also, the deployment of project would be completed earlier. The proposed theoretical and numerical schemes offer significant implementation metric for the investors increasing the project profits and utilizing the flexibility of investment timing effectively. Moreover, relatively high technical costs or relatively low initial-certificate prices are unable to make the investors implement the deployment of renewable energy projects as soon as possible. In that sense, successful implementation of RPSs needs to match the level of technical advancement and the requirement of green electricity for the policy maker.

Key words: renewable portfolio standards, uncertainties, real options, sequential investments, least-squares Monto Carlo simulation

李力, 朱磊, 范英. 可再生能源配额机制下电力投资最优序贯决策模型[J]. , 2019, 31(9): 37-46.

Li Li, Zhu Lei, Fan Ying. Optimum Sequential Investments Model on Renewable Energy Power Investments under Renewable Portfolio Standards[J]. , 2019, 31(9): 37-46.

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