JP-7855463-B2 - Information processing device, information processing method, and program

JP7855463B2JP 7855463 B2JP7855463 B2JP 7855463B2JP-7855463-B2

Inventors

國信茂太
王亜成
愛須英之
吉田琢史

Assignees

株式会社東芝
東芝エネルギーシステムズ株式会社

Dates

Publication Date: 20260508
Application Date: 20220909

Claims (14)

Multiple trading volume scenarios are created, including multiple third trading volume forecasts, based on multiple trading volume historical data, each including a first trading volume forecast and actual trading volume corresponding to the first trading volume forecast for a trading target traded in multiple markets, including the first market, and a second trading volume forecast for the trading target predicted at a point in time after the multiple trading volume historical data is obtained . Based on the multiple trading volume scenarios, a bidding range is calculated that indicates the range of trading volumes to be bid on for the first market. Multiple price scenarios are created, including multiple third price forecasts for the price, based on a plurality of price performance information, each including a first price forecast value which is a predicted value of the price of the traded object in a plurality of the aforementioned markets, and the actual price corresponding to the first price forecast value, and a second price forecast value for the price. Based on the aforementioned bidding range and the multiple aforementioned price scenarios, a bid quantity representing the trading volume to be bid on in the first market is calculated. An information processing device equipped with a processing unit.
The processing unit calculates the bid range, using the lower percentile value representing the lower limit of the bid range as the lower limit value and the upper percentile value representing the upper limit of the bid range as the upper limit value, from among the range including the multiple third predicted transaction volume values included in the multiple transaction volume scenarios. The information processing apparatus according to claim 1.
The processing unit creates the specified number of trading volume scenarios and the specified number of price scenarios. The information processing apparatus according to claim 1.
The processing unit obtains an empirical distribution of the error between the first predicted trading volume and the actual trading volume, and creates a plurality of trading volume scenarios including a plurality of third predicted trading volume values obtained by adding a plurality of error amounts selected using the empirical distribution to the second predicted trading volume. The information processing apparatus according to claim 1.
The processing unit obtains an empirical distribution of the error between the first price prediction value and the actual price, and creates a plurality of price scenarios including a plurality of third price prediction values obtained by adding a plurality of error amounts selected using the empirical distribution to the second price prediction value. The information processing apparatus according to claim 1.
The processing unit calculates the bid amount by solving an optimization problem to find the price scenario among a plurality of price scenarios in which the bid amount is included in the bid range and which maximizes profit. The information processing apparatus according to claim 1.
The aforementioned optimization problem is formulated using CVaR (Conditional Value at Risk) or VaR (Value at Risk). The information processing apparatus according to claim 6.
The aforementioned processing unit, A trading volume scenario creation unit that creates the aforementioned trading volume scenario, A range calculation unit for calculating the aforementioned bid range, A price scenario creation unit that creates the aforementioned price scenario, A bid quantity calculation unit that calculates the aforementioned bid quantity, Equipped with, The information processing apparatus according to claim 1.
The subject of the transaction is electricity, The aforementioned trading volume is the amount of electricity generated. The information processing apparatus according to claim 1.
An information processing method performed by an information processing device, The steps include creating multiple trading volume scenarios, each including a third trading volume forecast, based on a plurality of trading volume performance data, each including a first trading volume forecast and actual trading volume corresponding to the first trading volume forecast for a trading target traded in a plurality of markets, including a first market, and a second trading volume forecast for the trading target predicted at a point in time after the plurality of trading volume performance data has been obtained ; A step of calculating a bid range that indicates the range of trading volume to be bid on for the first market based on multiple trading volume scenarios, The steps include creating a plurality of price scenarios, including a plurality of third price forecasts for the price, based on a plurality of price performance information, each including a first price forecast value which is a predicted value of the price of the traded object in a plurality of the aforementioned markets, and the actual price corresponding to the first price forecast value, and a second price forecast value for the price, A step of calculating a bid amount representing the trading volume to be bid on to the first market based on the bid range and the multiple price scenarios, Information processing methods including
On the computer, The steps include creating multiple trading volume scenarios, each including a third trading volume forecast, based on a plurality of trading volume performance data, each including a first trading volume forecast and actual trading volume corresponding to the first trading volume forecast for a trading target traded in a plurality of markets, including a first market, and a second trading volume forecast for the trading target predicted at a point in time after the plurality of trading volume performance data has been obtained ; A step of calculating a bid range that indicates the range of trading volume to be bid on for the first market based on multiple trading volume scenarios, The steps include creating a plurality of price scenarios, including a plurality of third price forecasts for the price, based on a plurality of price performance information, each including a first price forecast value which is a predicted value of the price of the traded object in a plurality of the aforementioned markets, and the actual price corresponding to the first price forecast value, and a second price forecast value for the price, A step of calculating a bid amount representing the trading volume to be bid on to the first market based on the bid range and the multiple price scenarios, A program to execute.
Multiple trading volume scenarios are created, including multiple third trading volume forecasts, based on multiple trading volume historical data, each including a first trading volume forecast and actual trading volume corresponding to the first trading volume forecast for a trading target traded in multiple markets, including the first market, and a second trading volume forecast for the trading target predicted at a point in time after the multiple trading volume historical data is obtained. Based on risk information indicating the importance of buyback risk (buying back the trading target from a market other than the first market) and additional sell risk (selling the trading target to a market other than the first market), and multiple trading volume scenarios, the system calculates a bid amount representing the trading volume to be bid on in the first market. An information processing device equipped with a processing unit.
An information processing method performed by an information processing device, The steps include creating multiple trading volume scenarios, each including a third trading volume forecast, based on a plurality of trading volume performance data, each including a first trading volume forecast and actual trading volume corresponding to the first trading volume forecast for a trading target traded in a plurality of markets, including a first market, and a second trading volume forecast for the trading target predicted at a point in time after the plurality of trading volume performance data has been obtained; A step of calculating a bid amount representing the trading volume to be bid on in the first market, based on risk information indicating the importance of the buyback risk of buying back the trading target from a market other than the first market and the additional sell risk of selling the trading target to a market other than the first market, and a plurality of trading volume scenarios. Information processing methods including
On the computer, The steps include creating multiple trading volume scenarios, each including a third trading volume forecast, based on a plurality of trading volume performance data, each including a first trading volume forecast and actual trading volume corresponding to the first trading volume forecast for a trading target traded in a plurality of markets, including a first market, and a second trading volume forecast for the trading target predicted at a point in time after the plurality of trading volume performance data has been obtained; A step of calculating a bid amount representing the trading volume to be bid on in the first market, based on risk information indicating the importance of the buyback risk of buying back the trading target from a market other than the first market and the additional sell risk of selling the trading target to a market other than the first market, and a plurality of trading volume scenarios. A program to execute.

Description

Embodiments of the present invention relate to an information processing device, an information processing method, and a program. Electricity trading markets are known for the trading of electricity generated by power generators and other operators. For example, in Japan, electricity is traded in multiple markets operated by the Japan Electric Power Exchange (JEPX). These multiple markets include, for example, the spot market and the day-ahead market. The spot market is where bids are placed and transactions are completed for electricity to be sold or purchased the following day, up until the day before. The day-ahead market (same-day market) is a market that can be utilized right up until the actual supply and demand. Furthermore, a technology has been proposed to calculate the optimal ratio in which power generators should divide their generated electricity across multiple markets (spot market, pre-sale market, etc.) to maximize their profits. Japanese Patent Publication No. 2022-079368 Norio Hibiki, "Introduction to Portfolio Optimization," *Operations Research*, Vol. 61, June 2016, pp. 335-340. A block diagram of an information processing device according to the first embodiment.A diagram showing an example of selected neighboring data.A diagram showing the distribution of neighboring data.A diagram illustrating an example of the process for calculating the amount of error.A diagram showing an example of a series of predicted power generation values.A diagram showing an example of correspondence information.A diagram showing an example of selected neighboring data.A diagram showing examples of Voronoi boundaries and convex hulls.A diagram showing the definitions of constants used when formulating a linear programming problem.A diagram showing the definitions of variables used when formulating a linear programming problem.Flowchart of the bid amount calculation process in the first embodiment.A block diagram of an information processing device according to the second embodiment.Flowchart of the bid amount calculation process in the second embodiment.Hardware configuration diagram of an information processing device according to an embodiment. A preferred embodiment of the information processing device according to this invention will be described in detail below with reference to the attached drawings. In the following description, the market and the object of trade in that market will be described as an electricity trading market and electricity, but the market and the object of trade are not limited to these. In this example, the trading quantity, which represents the amount of the object of trade (electricity) traded in the market, corresponds to the amount of electricity generated. (First embodiment) JEPX stipulates that electricity generated should be traded in the spot market as much as possible, and any surplus or deficit in the amount generated on a given day should be bought and sold in the pre-hour market. Conventional technologies are not designed to take these regulations into account, which may lead to situations where the regulations are not followed. In the following, the spot market may be referred to as the main trading market (an example of the first market). Markets other than the spot market, including the pre-hour market, may be referred to as non-main trading markets. This embodiment assumes that there are two or more electricity trading markets, such as JEPX, and that the amount of electricity generated is bid on in the main trading market in a way that minimizes surplus or deficit (adhering to JEPX regulations). Based on this premise, the information processing device of this embodiment determines the optimal bid amount for the main trading market. The following explanation uses the example of two markets: a primary trading market and a secondary trading market. The secondary trading market is, for example, a pre-sale market, but may also include other markets. Furthermore, the explanation below uses the example of a power generator selling electricity generated on multiple markets. The bid amount when electricity consumers purchase electricity can be determined using a similar procedure. The information processing device according to this embodiment has, for example, the following functions and determines an appropriate bid amount for major trading markets. (F1) A function that calculates the range of power generation (bidding range) considering prediction error (risk) using multiple past power generation performance data and predicted power generation values (hereinafter referred to as power generation prediction value PEb). (F2) A function that determines the amount of bids to the major trading market within the bidding range, while ensuring stable and high revenue as much as possible, using multiple past price performance data and predicted prices (hereinafter referred to as price prediction value PCb) in multiple markets (major trading market, non-major trading market). The p