Wind Farm Portfolio Optimization under Network Capacity Constraints

Hélène Le Cadre (), Anthony Papavasiliou and Yves Smeers
Additional contact information
Hélène Le Cadre: CMA - Centre de Mathématiques Appliquées - Mines Paris - PSL (École nationale supérieure des mines de Paris) - PSL - Université Paris Sciences et Lettres
Anthony Papavasiliou: UCL - Université Catholique de Louvain = Catholic University of Louvain
Yves Smeers: UCL - Université Catholique de Louvain = Catholic University of Louvain

Post-Print from HAL

Abstract: In this article, we provide a new methodology for optimizing a portfolio of wind farms within a market environment, for two Market Designs (exogenous prices and endogenous prices). Our model is built on an agent based representation of suppliers and generators interacting in a certain number of geographic demand markets, organized as two tiered systems. Assuming rational expectation of the agents with respect to the outcome of the real-time market, suppliers take forward positions, which act as signals in the day-ahead market, to compensate for the uncertainty associated with supply and demand. Then, generators optimize their bilateral trades with the generators in the other markets. The Nash Equilibria resulting from this Signaling Game are characterized using Game Theory. The Markowitz Frontier, containing the set of efficient wind farm portfolios, is derived theoretically as a function of the number of wind farms and of their concentration. Finally, using a case study of France, Germany and Belgium, we simulate the Markowitz Frontier contour in the expected cost-risk plane.

Keywords: Game Theory; Market Design; Markowitz Frontier; Renewable Capacity Investment (search for similar items in EconPapers)
Date: 2015-06-06
New Economics Papers: this item is included in nep-ene and nep-ger
Note: View the original document on HAL open archive server: https://hal.science/hal-01007992v4
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (11)

Published in European Journal of Operational Research, 2015, 247 (2), pp.560-574. ⟨10.1016/j.ejor.2015.05.080⟩

Downloads: (external link)
https://hal.science/hal-01007992v4/document (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-01007992

DOI: 10.1016/j.ejor.2015.05.080

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().