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Yves Smeers - One of the best experts on this subject based on the ideXlab platform.
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On the multiplicity of solutions in Generation Capacity investment models with incomplete markets: a risk-averse stochastic equilibrium approach
Mathematical Programming, 2017Co-Authors: Ibrahim Abada, Gauthier De Maere D’aertrycke, Yves SmeersAbstract:Investment in Generation Capacity has traditionally been evaluated by computing the present value of cashflows accruing from new equipment in a market with globally optimized Capacity mix. The competition and risk that now prevail in the sector may require a more refined analysis. We consider a competitive market with agents investing in some mix of capacities: the risk exposure of a plant and the attitude towards risk of the owner depend on the plant and the portfolio of its capacities. They may also depend on hedging contracts acquired by the investor on the market if such contracts exist. We represent these effects through equilibrium models of Generation Capacity in incomplete markets. The models come in different versions depending on the portfolio of physical plants and hedging contracts. These modify the long-term risk of the plants, the attitude of the owners towards risk, and hence the incentive to invest. The models involve risk-averse producers and consumers, and their behavior is represented by convex risk measures. We use degree theory to prove existence and explore multiplicity of equilibrium solutions.
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Generation Capacity Investments in Electricity Markets: Perfect Competition
SSRN Electronic Journal, 2013Co-Authors: Gül Gürkan, Ozge Ozdemir, Yves SmeersAbstract:Abstract: In competitive electricity markets, markets designs based on power exchanges where supply bidding (barring demand-side bidding) is at the sole short run marginal cost may not guarantee resource adequacy. As alternative ways to remedy the resource adequacy problem, we focus on three different market designs in detail when demand is inelastic, namely an energy-only market with VOLL pricing (or a price cap), an additional Capacity market, and operating-reserve pricing. We also discuss demand-side bidding (i.e., a price responsive demand) which can be seen as a categorically different alternative to remedy the resource adequacy problem. We consider a perfectly competitive market consisting of three types of agents: generators, a transmission system operator, and consumers; all agents are assumed to have no market power. For each market design, we model and analyze Capacity investment choices of firms using a two-stage game where Generation capacities are installed in the first stage and Generation takes place in future spot markets at the second stage. When future spot market conditions are assumed to be known a priori (i.e., deterministic demand case), we show that all of these two-stage models with different market mechanisms, except operating-reserve pricing, can be cast as single optimization problems. When future spot market conditions are not known in advance (i.e., under demand uncertainty), we essentially have a two-stage stochastic game. Interestingly, an equilibrium point of this stochastic game can be found by solving a two-stage stochastic program, in case of all of the market mechanisms except operating-reserve pricing. In case of operatingreserve pricing, while the formulation of an equivalent deterministic or stochastic optimization problem is possible when operating-reserves are based on observed demand, this simplicity is lost when operatingreserves are based on installed capacities. We generalize these results for other uncertain parameters in spot markets such as fuel costs and transmission capacities. Finally, we illustrate how all these models can be numerically tackled and present numerical experiments. In our numerical experiments, we observe that uncertainty of demand leads to higher total Generation Capacity expansion and a broader mix of technologies compared to the investment decisions assuming average demand levels. Furthermore for the same VOLL (or price cap) level and under the assumptions of random demand with finite support and no forced outages, energy-onlymarkets with VOLL pricing tend to lead to total Generation Capacity below the peak load with a certain probability whereas energy markets with a forward Capacity market or operating-reserve pricing result in higher investments. Finally, the regulator decisions (e.g., reserve Capacity target) in Capacity markets and operating-reserve pricing can be chosen in such a way that results in very similar investment levels and fuel mix of Generation capacities in b
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Generation Capacity Expansion in a Risky Environment: A Stochastic Equilibrium Analysis
Operations Research, 2011Co-Authors: Andreas Ehrenmann, Yves SmeersAbstract:We cast models of the Generation Capacity expansion type formally developed for the monopoly regime into equilibrium models better adapted for a competitive environment. We focus on some of the risks faced today by investors in Generation Capacity and thus pose the problem as a stochastic equilibrium model. We illustrate the approach on the problem of the incentive to invest. Agents can be risk neutral or risk averse. We model risk aversion through the CVaR of plants' profit. The CVaR induces risk-adjusted probabilities according to which investors value their plants. The model is formulated as a complementarity problem (including the CVaR valuation of investments). An illustration is provided on a small problem that captures several features of today's electricity world: a choice often restricted to coal and gas units, a peaky load curve because of wind penetration, uncertain fuel prices, and an evolving carbon market. We assess the potential of the approach by comparing energy-only and Capacity market organizations in this risky environment. Our results can be summarized as follows: a deterministic analysis overlooks some changes of Capacity structure induced by risk, whether in the Capacity market or energy-only organizations. The risk-neutral analysis also misses a shift towards less capital-intensive technologies that may result from risk aversion. Last, risk aversion also increases the shortage of Capacity compared to the risk-neutral view in the energy-only market when the price cap is low. This may have a dramatic impact on the bill to the final consumer. The approach relies on mathematical programming techniques and can be extended to full-size problems. The results are illustrative and may deserve more investigation.
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Generation Capacity expansion in imperfectly competitive restructured electricity markets
Operations Research, 2005Co-Authors: Frederic H Murphy, Yves SmeersAbstract:We consider three models of investments in Generation Capacity in restructured electricity systems that differ with respect to their underlying economic assumptions. The first model assumes a perfect, competitive equilibrium. It is very similar to the traditional Capacity expansion models even if its economic interpretation is different. The second model (open-loop Cournot game) extends the Cournot model to include investments in new Generation capacities. This model can be interpreted as describing investments in an oligopolistic market where Capacity is simultaneously built and sold in long-term contracts when there is no spot market. The third model (closed-loop Cournot game) separates the investment and sales decision with investment in the first stage and sales in the second stage-that is, a spot market. This two-stage game corresponds to investments in merchant plants where the first-stage equilibrium problem is solved subject to equilibrium constraints. We show that despite some important differences, the open- and closed-loop games share many properties. One of the important results is that the prices and quantities produced in the closed-loop game, when the solution exists, fall between the prices and quantities in the open-loop game and the competitive equilibrium.
Audun Botterud - One of the best experts on this subject based on the ideXlab platform.
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Strategic Generation Capacity Expansion Planning With Incomplete Information
IEEE Transactions on Power Systems, 2009Co-Authors: Jianhui Wang, Mohammad Shahidehpour, Zuyi Li, Audun BotterudAbstract:To study the competitive behavior among individual generating companies (GENCOs), an incomplete information game model is proposed in this paper in which each GENCO is modeled as an agent. Each agent makes strategic Generation Capacity expansion decisions based on its incomplete information on other GENCOs. The formation of this game model falls into a bi-level optimization problem. The upper level of this problem is the GENCOs' own decision on optimal planning strategies and energy/reserve bidding strategies. The lower-level problem is the ISO's market clearing problem that minimizes the cost to supply the load, which yields price signals for GENCOs to calculate their own payoffs. A co-evolutionary algorithm combined with pattern search is proposed to optimize the search for the Nash equilibrium of the competition game with incomplete information. The Nash equilibrium is obtained if all GENCOs reach their maximum expected payoff assuming the planning strategies of other GENCOs' remain unchanged. The physical withholding of Capacity is considered in the energy market and the Herfindahl-Hirschman index is utilized to measure the market concentration. The competitive behaviors are analyzed in three policy scenarios based on different market rules for reserve procurement and compensation.
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A stochastic dynamic model for optimal timing of investments in new Generation Capacity in restructured power systems
International Journal of Electrical Power & Energy Systems, 2007Co-Authors: Audun Botterud, Magnus KorpåsAbstract:Abstract In this paper we formulate the power Generation investment problem for a decentralised and profit-maximising investor operating in a restructured and competitive power system. In particular, we look at how uncertainty influences the optimal timing of investments in new power Generation Capacity. A real options approach is used to take long-term uncertainty in load growth, and its influence on future electricity prices, into account in the investment optimisation. In order to value the operational flexibility of a new power plant we use an electricity price model, where the spot price is a function of load level and installed Generation Capacity, in addition to short-term uncertainties and temporal fluctuations in the market. The investor’s income from a Capacity payment, which also can depend on the system’s total Capacity balance, can also be represented. Hence, with the optimisation model we can analyse power plant profitability and optimal timing of new investments under different market designs. In a case study from the Nordic electricity market we analyse the effect of uncertainty on optimal investment timing. We also examine how a fixed or variable Capacity payment would influence the investment decision, and discuss the system consequences of the resulting investment strategies.
Mohammad Shahidehpour - One of the best experts on this subject based on the ideXlab platform.
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Strategic Generation Capacity Expansion Planning With Incomplete Information
IEEE Transactions on Power Systems, 2009Co-Authors: Jianhui Wang, Mohammad Shahidehpour, Zuyi Li, Audun BotterudAbstract:To study the competitive behavior among individual generating companies (GENCOs), an incomplete information game model is proposed in this paper in which each GENCO is modeled as an agent. Each agent makes strategic Generation Capacity expansion decisions based on its incomplete information on other GENCOs. The formation of this game model falls into a bi-level optimization problem. The upper level of this problem is the GENCOs' own decision on optimal planning strategies and energy/reserve bidding strategies. The lower-level problem is the ISO's market clearing problem that minimizes the cost to supply the load, which yields price signals for GENCOs to calculate their own payoffs. A co-evolutionary algorithm combined with pattern search is proposed to optimize the search for the Nash equilibrium of the competition game with incomplete information. The Nash equilibrium is obtained if all GENCOs reach their maximum expected payoff assuming the planning strategies of other GENCOs' remain unchanged. The physical withholding of Capacity is considered in the energy market and the Herfindahl-Hirschman index is utilized to measure the market concentration. The competitive behaviors are analyzed in three policy scenarios based on different market rules for reserve procurement and compensation.
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market based coordination of transmission and Generation Capacity planning
IEEE Transactions on Power Systems, 2007Co-Authors: Mohammad Shahidehpour, Yong FuAbstract:We propose an ISO model for coordinating transmission expansion planning with competitive Generation Capacity planning in electricity markets. The purpose of the model is a holistic simulation of Generation and transmission Capacity expansion in the market environment. The solution represents an iterative process for simulating the interactions among GENCOs, TRANSCOs, and the ISO, which might be terminated by the ISO based on a pre-specified stopping criterion. The proposed model adopts a joint energy and transmission auction market and a Capacity mechanism. The joint auction market enables competition to occur among Generation and transmission resources. The Capacity mechanism offers incentives for market participant investments that reflect the locational values of additional Capacity. Transmission Capacity expansion decisions are made by merchant transmission lines that recover their Capacity investments through transmission marginal pricing and Capacity payments. Transmission network security is reflected in the proposed competitive resource planning model. The examples illustrate a coordinated planning of Generation and transmission in restructured power systems.
Anders Jeppsson - One of the best experts on this subject based on the ideXlab platform.
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Sustained heparin effect contributes to reduced plasma thrombin Generation Capacity early after cardiac surgery.
Thrombosis research, 2012Co-Authors: Vladimir Radulovic, Monica Hyllner, Lisa Ternström, Martin Karlsson, Anders Bylock, Kenny M. Hansson, Fariba Baghaei, Anders JeppssonAbstract:Abstract Introduction Thrombin is a key component in the coagulation cascade, and impaired thrombin Generation has been linked to increased bleeding after surgical procedures. The aim was to evaluate postoperative thrombin Generation Capacity in plasma after cardiac surgery, and its potential associations to activity of individual coagulation factors and heparin. Material and Methods Forty-eight coronary artery bypass grafting patients were included in a prospective observational cohort study. Thrombin Generation Capacity was analysed in plasma with calibrated automated thrombogram with tissue factor as activator before (baseline), and 2 h and 24 h after surgery. In addition, plasma activity of coagulation factors II, V, VII, VIII, IX, X, XI, XIII, were determined. Heparin effect was assessed by anti-Xa activity, APTT and thrombin time. Results Thrombin Generation was markedly reduced 2 h after surgery compared to baseline. Peak levels decreased with median 74% (interquartile range 52–90), p Conclusions A marked reduction in thrombin Generation potential was observed in the early postoperative phase after cardiac surgery. The decrease was independent of reductions in individual coagulation factor activity but correlated to heparin effects. The results indicate that a sustained heparin effect contributes to the postoperative reduction in thrombin Generation Capacity.
Yong Fu - One of the best experts on this subject based on the ideXlab platform.
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market based coordination of transmission and Generation Capacity planning
IEEE Transactions on Power Systems, 2007Co-Authors: Mohammad Shahidehpour, Yong FuAbstract:We propose an ISO model for coordinating transmission expansion planning with competitive Generation Capacity planning in electricity markets. The purpose of the model is a holistic simulation of Generation and transmission Capacity expansion in the market environment. The solution represents an iterative process for simulating the interactions among GENCOs, TRANSCOs, and the ISO, which might be terminated by the ISO based on a pre-specified stopping criterion. The proposed model adopts a joint energy and transmission auction market and a Capacity mechanism. The joint auction market enables competition to occur among Generation and transmission resources. The Capacity mechanism offers incentives for market participant investments that reflect the locational values of additional Capacity. Transmission Capacity expansion decisions are made by merchant transmission lines that recover their Capacity investments through transmission marginal pricing and Capacity payments. Transmission network security is reflected in the proposed competitive resource planning model. The examples illustrate a coordinated planning of Generation and transmission in restructured power systems.