Journal of the Korean Operations Research and Management Science Society (한국경영과학회지)

The Korean Operations Research and Management Science Society (한국경영과학회)
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The Evaluation of Long-Term Generation Portfolio Considering Uncertainty

불확실성을 고려한 장기 전원 포트폴리오의 평가

  • Received : 2012.06.12
  • Accepted : 2012.09.13
  • Published : 2012.09.30
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Abstract

This paper presents a portfolio model for a long-term power generation mix problem. The proposed portfolio model evaluates generation mix by considering the tradeoffs between the expected cost for power generation and its variability. Unlike conventional portfolio models measuring variance, we introduce Conditional Value-at-Risk (CVaR) in designing the variability with aims to considering events that are enormously expensive but are rare such as nuclear power plant accidents. Further, we consider uncertainties associated with future electricity demand, fuel prices and their correlations, and capital costs for power plant investments. To obtain an objective generation by each energy source, we employ the sample average approximation method that approximates the stochastic objective function by taking the average of large sample values so that provides asymptotic convergence of optimal solutions. In addition, the method includes Monte Carlo simulation techniques in generating random samples from multivariate distributions. Applications of the proposed model and method are demonstrated through a case study of an electricity industry with nuclear, coal, oil (OCGT), and LNG (CCGT) in South Korea.

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