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Stochastic model for energy commercialisation of small hydro plants in the Brazilian energy market

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  • Vitor Matos
  • Mauro Sierra
  • Erlon Finardi
  • Brigida Decker
  • André Milanezi

Abstract

This paper presents a stochastic model for energy commercialisation strategies of small hydro plants (SHPs) in the Brazilian electricity market. The model aims to find the maximum expected revenue of the generation company, considering the main energy market regulations in Brazil, such as the penalty for insufficient energy certificates, the seasonality of energy certificates and the stochastic processes of future energy prices and plant generation. The problem is formulated as a multi-stage linear stochastic programming model, where the stochastic variables are the energy future prices, the system hydro generation and the SHP generation in the portfolio. Because of the large number of time steps in this model, methods with sampling strategies are necessary to identify a good solution. Therefore, we apply the Stochastic Dual Dynamic Programming algorithm. A case example is presented to analyse certain results of the model, which considers a generator company with a set of SHPs that can sell energy through contracts with periods of 6–24 months. Copyright Springer-Verlag Berlin Heidelberg 2015

Suggested Citation

  • Vitor Matos & Mauro Sierra & Erlon Finardi & Brigida Decker & André Milanezi, 2015. "Stochastic model for energy commercialisation of small hydro plants in the Brazilian energy market," Computational Management Science, Springer, vol. 12(1), pages 111-127, January.
    • Handle: RePEc:spr:comgts:v:12:y:2015:i:1:p:111-127
    DOI: 10.1007/s10287-014-0208-8
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    References listed on IDEAS

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    1. Shapiro, Alexander, 2011. "Analysis of stochastic dual dynamic programming method," European Journal of Operational Research, Elsevier, vol. 209(1), pages 63-72, February.
    2. Philpott, A.B. & de Matos, V.L., 2012. "Dynamic sampling algorithms for multi-stage stochastic programs with risk aversion," European Journal of Operational Research, Elsevier, vol. 218(2), pages 470-483.
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    Cited by:

    1. Maier, Sebastian & Street, Alexandre & McKinnon, Ken, 2016. "Risk-averse portfolio selection of renewable electricity generator investments in Brazil: An optimised multi-market commercialisation strategy," Energy, Elsevier, vol. 115(P1), pages 1331-1343.

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