Wind Farm Portfolio Optimization under Network Capacity Constraints
Résumé
In this article, we provide a new methodology for optimizing a port-
folio of wind farms within a market environment, for two Market Designs
(exogenous prices and endogenous prices). Our model is built on an agent
based representation of suppliers and generators interacting in a certain
number of geographic demand markets, organized as two tiered systems.
Assuming rational expectation of the agents with respect to the outcome
of the real-time market, suppliers take forward positions, which act as
signals in the day-ahead market, to compensate for the uncertainty asso-
ciated with supply and demand. Then, generators optimize their bilateral
trades with the generators in the other markets. The Nash Equilibria
resulting from this Signaling Game are characterized using Game Theory.
The Markowitz Frontier, containing the set of efficient wind farm port-
folios, is derived theoretically as a function of the number of wind farms
and of their concentration. Finally, using a case study of France, Germany
and Belgium, we simulate the Markowitz Frontier contour in the expected
cost-risk plane.
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