3 Presentations

• 
  04:00 PM - 04:30 PM

  Stochastic Model for Small Hydro Units Energy Commercialization in the Brazilian Energy Market

  • Vitor de Matos, presenter, Plan4 Engenharia
  • Mauro Gonzalez, Plan4/UFSC
  • Erlon Finardi, UFSC
  • Andre Milanezi, CELESC
  • Brigida Decker, Plan4/UFSC
  • Eduarda Alfing, Plan4

  Since 1995 the Brazilian Electrical Sector (BES) has been through the process of deregulation and restructuring. One of the main objectives of the new market structure was to stimulate the private sector to invest in the electricity markets. In this new regulatory framework the energy companies were separated into different companies in the segments of generation, transmission and distribution. The market was designed as to have competition in generation and commercialization, whilst the segments of transmission and distribution maintained their natural monopoly.
  In Brazil it was created two commercialization environments: the regulated market (known in Brazil as ACR) and the free market (ACL). The ACR is where residential and small commercial consumers are supplied by a local utility company that buy their energy from auctions, the consumer pays a tariff which is regulated. The ACL is where the bigger commercial and industrial consumers buy their energy directly from the generation and commercialization companies with bilateral contracts. Generation companies can sell their energy in both markets, ACR and ACL.
  Brazil has a unique framework because the dispatch and spot prices are a result of official models which are used by the Independent System Operator and the Chamber of Commercialization. The first entity is responsible for operating the system taking into account the electrical and energetic constraints, whilst the second one is responsible for the process of computing the energy spot price and controlling all aspects related to the electricity market. As a consequence the hydro generators neither bid on their energy prices nor control their generation; this increases the risk when selling bilateral contracts on the ACL.
  The Energy Reallocation Mechanism (ERM) was created to mitigate some of the hydro risks, in which all hydro plants share their generation and each one of them is entitled an amount proportional to their assured energy. All hydro plants over 30MW must take part on the ERM, while small hydro plants (below 30 MW) can decide if they want to join the ERM. When a company is part of the ERM, it needs to distribute the energy that they could generate in a year (assured energy) over the 12 months of the next year and this decision is taken every December.
  In this work we model a stochastic problem for a company which has only small hydro plants and operates in the Brazilian electricity market. The unknown variables are the spot prices, total hydro generation and small hydro plants generation. And the main results of the model are the distribution of the assured energy over the 12 months, the long term contracts that should be signed and short term contracts. In addition to that we analyze for certain conditions whether the company should join the ERM.

• 
  04:30 PM - 05:00 PM

  Decision-Support in the Hydro Energy Market: A Stochastic Approach with Risk Aversion Measures

  • Michel Gendreau, presenter, Polytechnique Montréal
  • Raphael E.C. Gonçalves, Polytechnique Montréal

  Studies related to portfolio management in the energy market have received a significant attention in recent decades, mainly due to the new structure of energy systems, where generation, transmission, distribution and market agents are now, in general, independent. Based on that, in the electricity market environment, decision-making agents must consider the uncertainties associated with the future price of energy, inflows into reservoirs and, sometimes, the future price of the fuel used by thermal plants, in order to obtain the best portfolio revenues. This study aims to present a stochastic approach for decision-support in the hydro energy market. For that, we consider risk aversion metrics based on the Conditional Value-at-Risk (CVaR), which can provide more coherent decisions and allow the decision-maker to add its risk perception into the problem formulation. We present a case study is based on an academic example of the Hydro-Québec (HQ) trading market environment.

• 
  05:00 PM - 05:30 PM

  A L-Saped Method for Mid-Term Hydro Scheduling Under Uncertainty

  • Pierre-Luc Carpentier, presenter, Polytechnique Montréal
  • Michel Gendreau, Polytechnique Montréal
  • Fabian Bastin, Université de Montréal

  We propose a new approach for solving the mid-term hydro scheduling problem (MHSP) with stochastic inflows. This problem aims at finding reservoir release targets to minimize the expected operation cost subject to reservoir dynamics and energy budget constraints. Head and hydroelectric efficiency variations are taken into account through concave and piecewise linear generation functions. The planning horizon is uniformly discretized and partitioned in two stages. To gain computational efficiency, we assume that the hydrological stochastic process loses memory of previous realizations at the end of the first stage. This assumption allows us to represent inflow uncertainty using two successive scenario trees. Special structure of the resulting mathematical program is exploited using a two-stage decomposition scheme. The master problem and subproblem solved at each iteration are stochastic linear programs defined on the first- and second-stage scenario trees, respectively. The proposed approach is tested on a large hydroelectric power system in Québec, Canada for a 92 weeks planning horizon.