Decision support system for a portfolio of a hydroelectric company in the Brazilian market

被引：0
作者：
Raguenet, Eduardo [1 ]
Diene, Oumar [1 ]
机构：
[1] Univ Fed Rio de Janeiro, COPPE Elect Engn Program, BR-21945970 Rio De Janeiro, RJ, Brazil
来源：
2019 16TH INTERNATIONAL CONFERENCE ON THE EUROPEAN ENERGY MARKET (EEM) | 2019年
关键词：
CVaR Analysis; Decision Support System; Electricity Markets; Energy Seasonalization; Portfolio Optimization; OPTIMIZATION; RISK;
D O I：
10.1109/eem.2019.8916389
中图分类号：
TE [石油、天然气工业]; TK [能源与动力工程];
学科分类号：
0807 ; 0820 ;
摘要：
In this paper, we propose a decision support system to solve the portfolio optimization problem of a hydroelectric company, considering simultaneously the energy allocation in the spot market, the bilateral contracts, and the seasonalization of physical guarantee. The objective is to maximize the expected revenue under a risk constraint, made by hedging the Condition Value at Risk (CVaR). Finally, a sensibility study of the Generation Scaling Factor is made, since it also depends on the decisions (seasonalization) of other agents. The problem is formulated as a linear optimization program, and the final algorithm is implemented using the software MatLab.
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页数：6
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