We propose a multi-stage stochastic optimization model for the generation capacity expansion problem of a price-taker power producer. Uncertainties regarding the evolution of electricity prices and fuel costs play a major role in long term investment decisions, therefore the objective function represents a trade-off between expected profit and risk. The Conditional Value at Risk is the risk measure used and is defined by a nested formulation that guarantees time consistency in the multi-stage model. The proposed model allows one to determine a long term expansion plan which takes into account uncertainty, while the LCoE approach, currently used by decision makers, only allows one to determine which technology should be chosen for the next power plant to be built.

(2016). A time consistent risk averse three-stage stochastic mixed integer optimization model for power generation capacity expansion [journal article - articolo]. In ENERGY ECONOMICS. Retrieved from http://hdl.handle.net/10446/32283

A time consistent risk averse three-stage stochastic mixed integer optimization model for power generation capacity expansion

PISCIELLA, Paolo;VESPUCCI, Maria Teresa;BERTOCCHI, Maria;ZIGRINO, Stefano
2016-01-01

Abstract

We propose a multi-stage stochastic optimization model for the generation capacity expansion problem of a price-taker power producer. Uncertainties regarding the evolution of electricity prices and fuel costs play a major role in long term investment decisions, therefore the objective function represents a trade-off between expected profit and risk. The Conditional Value at Risk is the risk measure used and is defined by a nested formulation that guarantees time consistency in the multi-stage model. The proposed model allows one to determine a long term expansion plan which takes into account uncertainty, while the LCoE approach, currently used by decision makers, only allows one to determine which technology should be chosen for the next power plant to be built.
journal article - articolo
2016
Pisciella, Paolo; Vespucci, Maria Teresa; Bertocchi, Maria; Zigrino, Stefano
(2016). A time consistent risk averse three-stage stochastic mixed integer optimization model for power generation capacity expansion [journal article - articolo]. In ENERGY ECONOMICS. Retrieved from http://hdl.handle.net/10446/32283
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/10446/32283
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