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Uncertainty in the electric power industry
TeAM YYeP G Digitally signed by TeAM YYePG DN: cn=TeAM YYePG, c=US, o=TeAM YYePG, ou=TeAM YYePG, email=yyepg@msn.com Reason: I attest to the accuracy and integrity of this document Date: 2005.06.10 06:35:10 +08'00' UNCERTAINTY IN THE ELECTRIC POWER INDUSTRY Recent titles in the INTERNATIONAL SERIES IN OPERATIONS RESEARCH & MANAGEMENT SCIENCE Frederick S. Hillier, Series Editor, Stanford University Zhu, J. / QUANTITATIVE MODELS FOR PERFORMANCE EVALUATION AND BENCHMARKING Ehrgott, M. & Gandibleux, X. /MULTIPLE CRITERIA OPTIMIZATION: State of the Art Annotated Bibliographical Surveys Bienstock, D. / Potential Function Methods for Approx. Solving Linear Programming Problems Matsatsinis, N.F. & Siskos, Y. / INTELLIGENT SUPPORT SYSTEMS FOR MARKETING DECISIONS Alpern, S. & Gal, S. / THE THEORY OF SEARCH GAMES AND RENDEZVOUS Hall, R. W./HANDBOOK OF TRANSPORTATION SCIENCE - Ed. 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V., Cheung, W./ 4th PARTY CYBER LOGISTICS FOR AIR CARGO Simchi-Levi, Wu, Shen/ HANDBOOK OF QUANTITATIVE SUPPLY CHAIN ANALYSIS: Modeling in the E-Business Era Gass, S.I. & Assad, A.A./ AN ANNOTATED TIMELINE OF OPERATIONS RESEARCH: An Informal History Greenberg, H.J./ TUTORIALS ON EMERGING METHODOLOGIES AND APPLICATIONS IN OPERATIONS RESEARCH * A list of the early publications in the series is at the end of the book * Nabrzyski, J., Schopf, J.M., GRID RESOURCE MANAGEMENT: State of the Art and Future Trends Thissen, W.A.H. & Herder, P.M./ CRITICAL INFRASTRUCTURES: State of the Art in Research and Application Carlsson, C., Fedrizzi, M., & Fullér, R./ FUZZY LOGIC IN MANAGEMENT Soyer, R., Mazzuchi, T.A., & Singpurwalla, N.D./ MATHEMATICAL RELIABILITY: An Expository Perspective Chakravarty, A.K. & Eliashberg, J./ MANAGING BUSINESS INTERFACES: Marketing, Engineering, and Manufacturing Perspectives Talluri, K. & van Ryzin, G./ THE THEORY AND PRACTICE OF REVENUE MANAGEMENT Kavadias, S. & Loch, C.H. /PROJECT SELECTION UNDER UNCERTAINTY: Dynamically Allocating Resources to Maximize Value Brandeau, M.L., Sainfort, F., Pierskalla, W.P./ OPERATIONS RESEARCH AND HEALTH CARE: A Handbook of Methods and Applications Cooper, W.W., Seiford, L.M., Zhu, J./ HANDBOOK OF DATA ENVELOPMENT ANALYSIS: Models and Methods UNCERTAINTY IN THE ELECTRIC POWER INDUSTRY Methods and Models for Decision Support CHRISTOPH WEBER University of Stuttgart, Institute for Energy Economics and Rational of Use of Energy Springer eBook ISBN: 0-387-23048-3 Print ISBN: 0-387-23047-5 Print ©2005 Springer Science + Business Media, Inc. All rights reserved No part of this eBook may be reproduced or transmitted in any form or by any means, electronic, mechanical, recording, or otherwise, without written consent from the Publisher Created in the United States of America Boston ©2005 Springer Science + Business Media, Inc. Visit Springer's eBookstore at: http://www.ebooks.kluweronline.com and the Springer Global Website Online at: http://www.springeronline.com For Dorothee, Simon and Miriam This page intentionally left blank Contents C ONTENTS L IST OF F IGURES L IST OF T ABLES P REFACE A CKNOWLEDGMENTS VII XIII XIX XXI XXIII Chapter 1 I NTRODUCTION l Chapter 2 D EREGULATION AND MARKETS IN THE ELECTRICITY INDUSTRY 3 1. 2. Status of deregulation Power and related markets in continental Europe 4 8 Chapter 3 D ECISION MAKING AND UNCERTAINTIES IN THE ELECTRICITY INDUSTRY 1. 2. Decision problems in the electricity industry Uncertainties in the electricity industry 2.1 2.2 2.3 2.4 2.5 2.6 2.7 Market prices for primary energy carriers Product prices for electricity Availability of plants Behavior of competitors Demand growth Technology development Regulatory and political uncertainties 11 11 13 13 15 18 18 19 19 21 viii 3. Formal framework 3.1 3.2 Formulating decision problems under uncertainty Describing uncertain parameters 3.2.1 3.2.2 Random variables Stochastic processes 3.3 3.4 Models for decision support under uncertainty Measuring model quality 22 22 24 24 26 26 27 Chapter 4 M ODELLING E LECTRICITY P RICES 1. Fundamental models 1.1 Basic model: cost minimization under load constraint and merit order 1.2 1.3 1.4 1.5 1.6 Transmission constraints Hydro plants Start-up costs and minimum operation/shut-down time Reserve power markets Implications and challenges 2. Finance and econometric models 2.1 Basic models 2.1.1 2.1.2 2.1.3 Geometric Brownian motion Mean-Reversion models Jump-Diffusion models 2.2 2.3 Deterministic and cyclical effects Advanced stochastic models 2.3.1 2.3.2 2.3.3 2.3.4 2.3.5 2.3.6 ARMA models GARCH models Mixture distributions Markov regime switching Transformed diffusion model Multifactor models 3. Integrated modeling approach 3.1 3.2 3.3 Primary energy prices: stochastic model Electricity prices: fundamental model Electricity prices: stochastic model 4. Application Chapter 5 M ODELING COMPETITION IN THE ELECTRICITY INDUSTRY 1. 2. Competition on the wholesale market: Cournot-Nash competition and competition with bid curves Competition on the retail market: Bertrand competition and competition with heterogeneous products 31 32 32 35 35 37 38 39 40 40 40 42 43 44 45 45 46 48 50 53 54 56 57 60 65 73 79 79 80 . MAKING AND UNCERTAINTIES IN THE ELECTRICITY INDUSTRY 1. 2. Decision problems in the electricity industry Uncertainties in the electricity industry 2.1 2.2 2.3. the accuracy and integrity of this document Date: 2005.06.10 06:35:10 +08'00' UNCERTAINTY IN THE ELECTRIC POWER INDUSTRY Recent titles in the