Electricity market modeling using stochastic and robust optimization

Yıldırım, Miray Hanım
Sustainable development relying on sustainable and renewable energy systems is becoming one of the major policies of many countries. This forces the policy makers to establish many reforms and revolutions, which evolve electricity markets into a more competitive form. The competitive environment results in surging electricity demand and supply that brings in a critical challenge: uncertainty. In this thesis, the uncertainties with respect to prices and demand in the market are explored by using stochastic portfolio optimization and robust optimization techniques. A stochastic optimization model is developed to maximize the overall expected profit in the electricity market by generating possible stochastic electricity supply and demand curves. Stochastic electricity supply curves of prices are generated by using Ornstein-Uhlenbeck mean-reverting process and running Monte-Carlo simulations. In order to overcome the drawbacks of this model, a second model is developed by using robust optimization techniques. This model handles uncertainties both in supply-demand balance of electricity and in renewable energy resources. The supplydemand balance of electricity is explored by using a novel hybrid approach: Wavelet-Multivariate Adaptive Regression Splines (in short: W~MARS). This method forecasts day-ahead electricity prices by considering the challenges such as high volatility, high frequency, nonstationarity and multiple seasonality. Then, we refine W~MARS by a novel robust optimization model, called Robust W~MARS (in short: R~W~MARS), which ensures sustainability and renewability by projecting ellipsoidal uncertainty. The models developed in the thesis are tested by using real electricity market data. Concluding remarks on the models and an outlook to future studies are presented at the end of the thesis.


Capacity determination of pumped storage projects using market electricity prices
Çetinkaya, Semih; Tiğrek, Şahnaz; Department of Civil Engineering (2014)
Renewable and clean energy is gaining more importance after the nuclear disasters with increasing awareness of depletion of fossil fuels, concerns about the global warming and increasing energy demand. However, intermittency of renewable resources is the biggest challenge in the restructuring world energy market. Energy has to be stored against sudden changes in the production and consumption. In order to keep the continuity of the energy supply, pumped storage can be a remedy. Therefore, pumped storage pro...
Performance analysis of a solar chimney power plant for rural areas in Nigeria
Okoye, Chiemeka Onyeka; Taylan, Onur (2017-04-01)
Diverse renewable energy technologies are urgently needed, especially for developing countries. This paper aims to create awareness of solar chimney power plants (SCPP) as a viable and sustainable alternative in rural communities with limited or no access to the grid. The study considers site-specific hourly meteorological data in assessing the feasibility of SCPP in seven selected regions in Nigeria. A theoretical model was established for power output, levelized cost of electricity (LCOE) and avoided carb...
Short term electricity price forecasting in Turkish electricity market
Özgüner, Erdem; Güven, Ali Nezih; Tör, O. Bülent; Department of Electrical and Electronics Engineering (2012)
With the aim for higher economical efficiency, considerable and radical changes have occurred in the worldwide electricity sector since the beginning of 1980s. By that time, the electricity sector has been controlled by the state-owned vertically integrated monopolies which manage and control all generation, transmission, distribution and retail activities and the consumers buy electricity with a price set by these monopolies in that system. After the liberalization and restructuring of the electricity powe...
Energy indicators for sustainable development: comparison of Turkey and selected european union countries
Toğçuoğlu, Mehlika Merve; Aşık, Serap; Akbostancı Özkazanç, Elif; Department of Economics (2011)
The aim of this study is to compare the sustainable development perspective of Turkey with selected European Union countries in terms of Energy Indicators for Sustainable Energy between 1980-2008. The study is conducted in a comparative and descriptive way by using energy indicators. The common energy policy priorities of Turkey and European Union are determined in the light of recent literature. An energy indicator set is constructed according to energy priorities, namely, energy efficiency and energy inte...
Energy efficiency and rebound effect for household gas consumption: evidence from Ankara
Yılmaz, Zehra İlknur; Sarı, Ramazan; Department of Earth System Science (2019)
Increasing energy demand and concerns about energy security and climate change have led to energy efficiency to become one of the important energy policy objectives in many countries. It is conceived that energy efficiency improvements will decrease energy consumption and CO2 emissions. However, actual efficiency savings are often less than projected savings because of consumer behavior. This concept is known as the rebound effect which is an important factor to be considered while estimating results of ene...
Citation Formats
M. H. Yıldırım, “Electricity market modeling using stochastic and robust optimization,” Ph.D. - Doctoral Program, Middle East Technical University, 2015.