Strategic Particle Swarm Inertia Selection for Electricity Markets Participation Portfolio Optimization

Faia, Ricardo; Pinto, Tiago; Vale, Zita; Corchado, Juan Manuel

http://hdl.handle.net/10400.22/17117

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Authors

Faia, Ricardo

Pinto, Tiago

Vale, Zita

Corchado, Juan Manuel

Abstract(s)

The portfolio optimization is a well-known problem in the areas of economy and finance. This problem has also become increasingly important in electrical power systems, particularly in the area of electricity markets, mostly due to the growing number of alternative/complementary market types that are being introduced to deal with important issues, such as the massive integration of renewable energy sources in power systems. The optimization of electricity market players’ participation portfolio comprises significant time constraints, which cannot be satisfied by the use of deterministic techniques. For this reason, meta-heuristic solutions are used, such as particle swarm optimization. The inertia is one of the most important parameter in this method, and it is the main focus of this paper. This paper studies 18 popular inertia calculation strategies, by comparing their performance in the portfolio optimization problem. A strategic methodology for the automatic selection of the best inertia calculation method for the needs of each optimization is also proposed. Results show that the proposed approach is able to automatically adapt the inertia parameter according to the needs in each execution.