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Operations Research, Systems Engineering and Industrial Engineering Commons™
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Articles 1 - 4 of 4
Full-Text Articles in Operations Research, Systems Engineering and Industrial Engineering
Exercising Real Unit Operational Options Under Price Uncertainty, Chung-Li Tseng
Exercising Real Unit Operational Options Under Price Uncertainty, Chung-Li Tseng
Engineering Management and Systems Engineering Faculty Research & Creative Works
In this paper, we use the real options framework to value the operation flexibility of a power plant. The power plant operation is formulated as a multi-stage stochastic problem. We assume that there are hourly spot markets for both electricity and the fuel used by the generator, and that their prices follow some Ito processes. At each hour, the power plant operator must decide whether or not to run the unit so as to maximize expected profit. However, the unit operation is subject to decision lead times and minimum uptime and downtime constraints, so the commitment decision must take into …
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 …
A Robust Unit Commitment Algorithm For Hydro-Thermal Optimization, Chao-An Li, R. B. Johnson, A. J. Svoboda, Chung-Li Tseng, E. Hsu
A Robust Unit Commitment Algorithm For Hydro-Thermal Optimization, Chao-An Li, R. B. Johnson, A. J. Svoboda, Chung-Li Tseng, E. Hsu
Engineering Management and Systems Engineering Faculty Research & Creative Works
This paper presents a unit commitment algorithm which combines the Lagrangian relaxation (LR), sequential unit commitment (SUC), and optimal unit decommitment (UD) methods to solve a general hydro-thermal optimization (HTO) problem. We argue that this approach retains the advantages of the LR method while addressing the method''s observed weaknesses to improve overall algorithm performance and quality of solution. The proposed approach has been implemented in a version of PG&E''s HTO program, and test results are presented.
A Robust Unit Commitment Algorithm For Hydro-Thermal Optimization, Chao-An Li, Chung-Li Tseng, E. Hsu, R. B. Johnson, A. J. Svoboda
A Robust Unit Commitment Algorithm For Hydro-Thermal Optimization, Chao-An Li, Chung-Li Tseng, E. Hsu, R. B. Johnson, A. J. Svoboda
Engineering Management and Systems Engineering Faculty Research & Creative Works
This paper presents a unit commitment algorithm which combines the Lagrangian relaxation (LR), sequential unit commitment (SUC), and optimal unit decommitment (UD) methods to solve a general hydro-thermal optimization (HTO) problem. The authors argue that this approach retains the advantages of the LR method while addressing the method''s observed weaknesses to improve overall algorithm performance and quality of solution. The proposed approach has been implemented in a version of PG&E''s HTO program, and test results are presented.