Decision-Making Model of Investment Planning in the Generation Supply under Uncertainty

This paper discusses some aspects of the analysis of investment decision-making model under uncertainty. The model assumes revenues and operating cost uncertainty. The investment rule takes the,form of a critical value such that it is optimal to invest once. The critical value of the project is calculated using dynamic programming. The project value is modelled using stochastic processes, e.g. random walk model with drift. The model is applied to analyse an investment in new power plant. Some results of the model are presented.