| Item Type |
Journal paper
|
| Abstract |
In the present paper, we present a mid-term planning model for thermal power generation which is based on multistage stochastic optimization and involves stochastic electricity spot prices, a mixture of fuels with stochastic prices, the effect of CO 2 emission prices and various types of further operating costs. Going from data to decisions, the first goal was to estimate simulation models for various commodity prices. We apply Geometric Brownian motions with jumps to model gas, coal, oil and emission allowance spot prices. Electricity spot prices are modeled by a regime switching approach which takes into account seasonal effects and spikes. Given the estimated models, we simulate scenario paths and then use a multiperiod generalization of the Wasserstein distance for constructing the stochastic trees used in the optimization model. Finally, we solve a 1-year planning problem for a fictitious configuration of thermal units, producing against the markets. We use the implemented model to demonstrate the effect of CO 2 prices on cumulated emissions and to apply the indifference pricing principle to simple electricity delivery contracts. |
| Authors |
Kovacevic, Raimund & Paraschiv, Florentina |
| Journal or Publication Title |
OR Spectrum |
| Language |
English |
| Keywords |
Multistage stochastic programming, Tree generation, Electricity production, Modeling commodity spot prices |
| Subjects |
economics |
| HSG Classification |
contribution to scientific community |
| HSG Profile Area |
SEPS - Quantitative Economic Methods |
| Refereed |
Yes |
| Date |
July 2014 |
| Publisher |
Springer |
| Place of Publication |
Heidelberg |
| Volume |
36 |
| Number |
3 |
| Page Range |
1-37 |
| Number of Pages |
37 |
| ISSN |
0171-6468 |
| ISSN-Digital |
1436-6304 |
| Publisher DOI |
https://doi.org/10.1007/s00291-013-0340-9 |
| Depositing User |
Prof. Dr. Florentina Paraschiv
|
| Date Deposited |
13 Dec 2012 12:23 |
| Last Modified |
01 Feb 2023 01:22 |
| URI: |
https://www.alexandria.unisg.ch/publications/218680 |
Medium-term planning for thermal electricity production
