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1102. Optimizing hydro-pumping plants management in the new storage market
Invited abstract in session WA-2: New Advances in Italian Energy Markets, stream OR in Banking, Finance and Insurance: New Tools for Risk Management.
Wednesday, 8:30-10:00Room: Glassalen (building: 101)
Authors (first author is the speaker)
| 1. | Diana Tratta
|
| Department of Economics and Management, University of Brescia | |
| 2. | Paolo Falbo
|
| Department of Economics and Management, University of Brescia | |
| 3. | Carlo Filippi
|
| Dept. of Economics and Management, University of Brescia |
Abstract
The high short-term volatility of renewable energies raises supply security issues that can be addressed through energy storage technologies. The idea of introducing a long term energy storage market is the solution for two problems in the investment of storage technologies: high costs and high volatility of energy prices. The main goal of this paper is the modeling and solution of a profit maximization problem for a risk-averse energy producer, who owns an hydroelectric pumping storage facility, and aims to seize the opportunity to finance the investment through an energy storage market. We modeled the facility owner's decisions through an optimization problem. The owner profits from both selling storage capacity to a counterpart and participating in speculation within the energy spot markets and ancillary services. Our contribution to literature lies in the joint optimization of generation/pumping and the decision sell part of the storage capacity. One of the main profit opportunities for the plant owner is to fulfill customer orders through accounting rather than physically. This introduces a significant complication: it is necessary to consider water movements from both an accounting and a physical perspective. The decision maker risk’s aversion has been formulated including the Conditional Value-Risk as a risk measurement in the objective function.
Keywords
- Optimization in Financial Mathematics
- OR in Energy
- OR in Environment and Climate change
Status: accepted
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