Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.22/1340
Título: A decision-support system based on particle swarm optimization for multiperiod hedging in electricity markets
Autor: Azevedo, Filipe
Vale, Zita
Oliveira, P. B. Moura
Palavras-chave: Contracts
Electricity markets
Genetic algorithms
Hedging
Particle swarm optimization
Risk management
Data: 2007
Editora: IEEE
Relatório da Série N.º: IEEE Transactions on Power Systems; Vol.22, Issue 3
Resumo: This paper proposes a particle swarm optimization (PSO) approach to support electricity producers for multiperiod optimal contract allocation. The producer risk preference is stated by a utility function (U) expressing the tradeoff between the expectation and variance of the return. Variance estimation and expected return are based on a forecasted scenario interval determined by a price range forecasting model developed by the authors. A certain confidence level is associated to each forecasted scenario interval. The proposed model makes use of contracts with physical (spot and forward) and financial (options) settlement. PSO performance was evaluated by comparing it with a genetic algorithm-based approach. This model can be used by producers in deregulated electricity markets but can easily be adapted to load serving entities and retailers. Moreover, it can easily be adapted to the use of other type of contracts.
URI: http://hdl.handle.net/10400.22/1340
ISSN: 0885-8950
Versão do Editor: http://ieeexplore.ieee.org/xpls/abs_all.jsp?arnumber=4282008
Aparece nas colecções:ISEP – GECAD – Artigos

Ficheiros deste registo:
Ficheiro Descrição TamanhoFormato 
ART_FilipeAzevedo_2007_GECAD.pdf761,48 kBAdobe PDFVer/Abrir


FacebookTwitterDeliciousLinkedInDiggGoogle BookmarksMySpace
Formato BibTex MendeleyEndnote Degois 

Todos os registos no repositório estão protegidos por leis de copyright, com todos os direitos reservados.