Title: Medium-term planning for thermal electricity production
Speaker: Dr. Florentina Paraschiv
Affiliation: Institute for Operations Research and Computational Finance – University of St. Gallen
Location: Room 218 Huxley Building
Time: 2:00pm

Abstract. In the present paper, we present a mid-term planning model for thermal power generation which is based on multistage stochastic optimization and involves stochastic electricity spot prices, a mixture of fuels with stochastic prices, the effect of CO2 emission prices and various types of further operating costs. Going from data to decisions, the first goal was to estimate simulation models for various commodity prices. We apply Geometric Brownian motions with jumps to model gas, coal, oil and emission allowance spot prices. Electricity spot prices are modeled by a regime switching approach which takes into account seasonal effects and spikes. Given the estimated models, we simulate scenario paths and then use a multiperiod generalization of the Wasserstein distance for constructing the stochastic trees used in the optimization model. Finally, we solve a 1-year planning problem for a fictitious configuration of thermal units, producing against the markets. We use the implemented model to demonstrate the effect of CO2 prices on cumulated emissions and to apply the indifference pricing principle to simple electricity delivery contracts.

About the speaker. Dr. Florentina Paraschiv is an Assistant Professor at the University of St. Gallen and she works inside the Institute for Operations Research and Computational Finance ior/cf-HSG. Her interest fields include: econometrics of electricity, oil, and gas markets, quantification of risk in the electricity business, optimization of power production, renewable energy.