Financial risk control of hydro generation systems through market intelligence and stochastic optimization
| Autor: | Lais Domingues Leonel, Mateus Henrique Balan, Rodrigo Ferreira de Mello, Dorel Soares Ramos, Erik Eduardo Rego |
|---|---|
| Rok vydání: | 2021 |
| Předmět: |
Technology
Control and Optimization Spot contract Operations research risk analysis Computer science Energy Engineering and Power Technology market intelligence decision making stochastic processes uncertainty symbols.namesake OTIMIZAÇÃO ESTOCÁSTICA Electrical and Electronic Engineering Engineering (miscellaneous) Renewable Energy Sustainability and the Environment Financial risk Market intelligence Building and Construction Competitor analysis Expected shortfall Nash equilibrium symbols Stochastic optimization Game theory Energy (miscellaneous) |
| Zdroj: | Repositório Institucional da USP (Biblioteca Digital da Produção Intelectual) Universidade de São Paulo (USP) instacron:USP Energies; Volume 14; Issue 19; Pages: 6368 Energies, Vol 14, Iss 6368, p 6368 (2021) |
| Popis: | In the competitive electricity wholesale market, decisions regarding hydro generators are generally made under uncertain conditions, such as pool price, hydrological affluence, and other players’ strategies. From this perspective, this work presents a computational model formulation with associated market intelligence and game theory tools to support a decision-making process in a competitive environment. The idea behind using a market intelligence tool is to apply a stochastic optimization model with an associated conditional value at risk metric defining a utility function, which calculates the weight that the agents attribute to each stochastic variable associated with the problem to be faced. Subsequently, this utility function is used to emulate the other agents’ strategies based on their previous decisions. The final step finds the Nash equilibrium solution between a player and their competitors. The methodology is applied to the monthly allocation of firm energy by hydro generators under the current Brazilian regulatory framework. The results show a change in the generators’ behavior over the years, from risk-neutral agents seeking to maximize their return with 88% of decisions based on spot price forecasts in 2015, to risk-averse agents with 100% of decisions following a factor that is directly impacted by the hydrological affluence forecasts in 2018. |
| Databáze: | OpenAIRE |
| Externí odkaz: |
|