In this paper we present the Portfolio Optimization Problem in the electricity generation framework. We consider traditional and fully controllable energy sources together with wind source, strongly supported by economical benefits but exposed to intermittent generation volatility. A new formulation in terms of uNPV (unit Net Present Value) is proposed and analysed, due to the statistical uncertainty about parameters, we formalize the optimization problem in a probabilistic sense in terms of Monte Carlo Estimators and structured in terms of Risk Aversion factor. The optimization routine is implemented with a Genetic Algorithm. © 2010 IEEE.

Generation Portfolio Optimization by NPV formulation, Monte Carlo Estimators and Genetic Algorithms / Andrea, Mercurio; DI GIORGIO, Alessandro; Laura, Pimpinella. - STAMPA. - (2010), pp. 761-766. (Intervento presentato al convegno 18th Mediterranean Conference on Control and Automation, MED'10 tenutosi a Marrakech nel 23 June 2010 through 25 June 2010) [10.1109/med.2010.5547777].

Generation Portfolio Optimization by NPV formulation, Monte Carlo Estimators and Genetic Algorithms

DI GIORGIO, ALESSANDRO;
2010

Abstract

In this paper we present the Portfolio Optimization Problem in the electricity generation framework. We consider traditional and fully controllable energy sources together with wind source, strongly supported by economical benefits but exposed to intermittent generation volatility. A new formulation in terms of uNPV (unit Net Present Value) is proposed and analysed, due to the statistical uncertainty about parameters, we formalize the optimization problem in a probabilistic sense in terms of Monte Carlo Estimators and structured in terms of Risk Aversion factor. The optimization routine is implemented with a Genetic Algorithm. © 2010 IEEE.
2010
18th Mediterranean Conference on Control and Automation, MED'10
generation company; genetic algorithms; monte carlo estimators; portfolio; unit net present value
04 Pubblicazione in atti di convegno::04b Atto di convegno in volume
Generation Portfolio Optimization by NPV formulation, Monte Carlo Estimators and Genetic Algorithms / Andrea, Mercurio; DI GIORGIO, Alessandro; Laura, Pimpinella. - STAMPA. - (2010), pp. 761-766. (Intervento presentato al convegno 18th Mediterranean Conference on Control and Automation, MED'10 tenutosi a Marrakech nel 23 June 2010 through 25 June 2010) [10.1109/med.2010.5547777].
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