Hedging Strategy and Electricity Contract Engineering - IFOR

gìi
Û S í SÜ D í DÜ I a í I Ü tÝ gìi
Û SÜ DÜ I a Ü tÝ?Ü
õ
á
6.4 Modeling of plants and their operational flexibility 129
an exercise conditions would therefore be to introduce non-linearity in the
model. This is something that we want to avoid to be able to take advantage
of the superior computational features of linear programming. The dispatch
decision will hence not directly be a function of the water level. That is why
the aggregated inflow is modeled as a variable in the exercise functions and
not the instantaneous inflow. It is natural to have the instantaneous spot price
and demand as variables, since these two parameters directly influence the
profit and loss function and hence the risk. The inflow, on the other hand,
does not directly influence the profit and as seen in (6.4) the aggregated inflow
describes the current water level better than the instantaneous inflow.
To formalize our ideas on how the dispatch should react to changes in spot
price, demand and aggregated inflow, we impose the conditions that gëi
should
be increasing and gìi
decreasing in spot price, demand and aggregated inflow
respectively, which is consistent with basic economic ideas, such as selling at
high prices and buying at low prices
Û gëi
í SÜ S í DÜ D I a I Ü tÝ gëi
Û SÜ DÜ I a Ü tÝ?Ü
í
rÜ (6.14)
Ü
Û í SÜkí DÜkí IÝ 0Ü i 1Ü
á?á@á
(6.15)
In order to fulfill the technical constraints and to allow a full range in the dispatch
we further impose that
Û í SÜkí DÜkí IÝ 0Ü i 1Ü
Ükô
á?á@á
max
I a ã
i
t Û gë Ý p max Ü min
Dã Sã
Dã I a t
i Û gë Ý 0Ü i 1Ü
Sã ã
max
I a ã
i
t Û gì Ý p min Ü min
Sã Dã I a ã t
i Û gì Ý 0Ü i 1Ü
Dã Sã
Ü r (6.16)
ÜkôÑÜ (6.17)
á?á@á
á@á?á
and that the weighting factors sum up to 1 together with non-negativity
r
Ü rÜ (6.18)
1â 1
i
1Ü õ
ë
i
0Ü i 1Ü
ë
á@á?á