Open Access. Powered by Scholars. Published by Universities.®
Operations Research, Systems Engineering and Industrial Engineering
Engineering Management and Systems Engineering Faculty Research & Creative Works
Articles 1 - 1 of 1
Full-Text Articles in Engineering
Short-Term Generation Asset Valuation, Chung-Li Tseng, G. Barz
Short-Term Generation Asset Valuation, Chung-Li Tseng, G. Barz
Engineering Management and Systems Engineering Faculty Research & Creative Works
We present a method for valuing a power plant over a short term period using Monte Carlo simulation. The power plant valuation problem is formulated as a multi stage stochastic problem. We assume there are hourly markets for both electricity and the fuel used by the generator, and their prices follow some Ito processes. At each hour, the power plant operator must decide to run or not to run the unit so as to maximize expected profit. A certain lead time for commitment decision is necessary to start up a unit. The commitment decision, once made, is subject to physical …