Operations Research Seminar - 30/4/2014

Wednesday, 30 April 2014, 2:30 p.m.

Lecturer: Ricardo Lima (Marie Curie Fellow, Laboratório Nacional de Energia e Geologia)

Title: "On the Two-Stage Adaptive Robust Optimization Applied to an  Electricity Producer"

Local: Room 1.3, Edifício VII
Faculdade de Ciências e Tecnologia, Quinta da Torre, Caparica

Abstract: This talk addresses the optimization under uncertainty of the self-scheduling, forward contracting, and pool involvement of an electricity producer operating a mixed power generation station, which combines thermal, hydro and wind sources, and uses a two stage adaptive robust optimization approach. In this problem the wind power production and the electricity pool price are considered to be uncertain, and are described by uncertainty convex sets. To solve this problem, two variants of a constraint generation algorithm based on Benders Decomposition will be presented, and their characteristics discussed. Both algorithms are used to solve two case studies based on two producers. The effect  of the producers' approach, whether conservative or more risk prone, is also investigated by solving each instance for multiple values of the so-called budget parameter. It was possible to conclude that this parameter influences markedly the producers' strategy, in terms of scheduling, profit, forward contracting, and pool involvement. Regarding the computational results, these show that for some instances, the two variants of the algorithms have a similar performance, while for a particular subset of them one variant has a clear superiority.