A stochastic model for investments in different technologies for electricity production in the long period

Maria Vespucci (), Marida Bertocchi (), Mario Innorta () and Stefano Zigrino ()

Central European Journal of Operations Research, 2014, vol. 22, issue 2, 407-426

Abstract: We present a single stage stochastic mixed integer linear model for determining the optimal mix of different technologies for electricity generation, ranging from coal, nuclear and combined cycle gas turbine to hydroelectric, wind and photovoltaic, taking into account the existing plants, the cost of investment in new plants, maintenance costs, purchase and sale of $${CO}_2$$ CO 2 emission trading certificates and green certificates, in order to satisfy regulatory requirements. The power producer is assumed to be a price-taker. Stochasticity of future fuel prices, which affect the generation variable costs, is included in the model by means of a set of scenarios. The main contribution of the paper, beyond considering stochasticity in the future fuel prices, is the introduction of CVaR risk measure in the objective function in order to limit the possibility of low profits in bad scenarios with a fixed confidence level. Copyright Springer-Verlag Berlin Heidelberg 2014

Keywords: Mixed integer stochastic model; Capacity production planning; Fuel prices uncertainty (search for similar items in EconPapers)
Date: 2014
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DOI: 10.1007/s10100-013-0317-4

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