Friday, 16:15 - 16:40 h, Room: MA 549

 

Daniel Ralph
Risk averse long term capacity equilibria: An optimization formulation extending MARKAL

Coauthor: Yves Smeers

 

Abstract:
Linear Programming (LP) and other optimization models are standard & useful for long term capacity equilibria, eg, MARKAL for energy capacity equilibria. Such models:
\begin{compactitem}[-]

  • assume Perfect competition
  • can handle uncertainty via risk neutral valuation, ie, expectation with respect to given probability density.
    \end{compactitem}
    Our main result is that risk aversion can be included in LP/optimization models for long term capacity equilibria:
    \begin{compactitem}[-]
  • assuming Perfect competition
  • where valuation of uncertain assets is modelled by Coherent Risk Measures
  • by using financial securities which are traded in a Complete Risk Market
    \end{compactitem}

     

    Talk 3 of the invited session Fri.3.MA 549
    "Stochastic equilibria in energy markets II" [...]
    Cluster 18
    "Optimization in energy systems" [...]

     

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