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HERBS - H ydro E lectric R eservoir B idding S ystem

HERBS - H ydro E lectric R eservoir B idding S ystem. Faisal Wahid Andy Philpott Anthony Downward. 2011 - Graduated in operations r esearch at Engineering Science, University of Auckland Final year project: Investigating the operational effects of Tekapo A and B asset transfer

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HERBS - H ydro E lectric R eservoir B idding S ystem

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  1. HERBS - Hydro Electric Reservoir Bidding System Faisal Wahid Andy Philpott Anthony Downward

  2. 2011 - Graduated in operations research at Engineering Science, University of Auckland • Final year project: Investigating the operational effects of Tekapo A and B asset transfer • 2012 - Worked as Trading Analyst for Mighty River Power • Currently pursuing a PhD with Gaspard Monge Program for optimisation and operations research (PGMO) , Meridian Energy and EDF River Optimisation: short term hydro scheduling under uncertainty

  3. Acknowledgements • Professor Andy Philpott – EPOC • Dr. Anthony Downward – EPOC • Andrew Kerr – Meridian • Dr.AnesDallagi – EDF • Professor Frederic Bonnans - INRIA

  4. French Balancing Market

  5. Hydro-bidding

  6. ? Price Quantity

  7. Hydro Bidding Problem • Producing optimal supply/offer curves for hydropower producers • Integrates hydropower production and market exchange

  8. Presentation Outline • HERBS formulation (single reservoir) • Simple example • Challenges • Opportunities • Discussion

  9. Formulation – Single Stage • Market price modelled by discrete states • Market clearing price is a random variable • Each state has a price interval • Price States = • Each price intervals has an average price • Each average price has associated probability • Quantity variables for each price state

  10. Formulation – Single Stage • Max Price ($/MW) Quantity (MW’s)

  11. Formulation – Single Stage • Maximising expected profit • Max • Conservation of reservoir storage • Storage bounds • Monotonic offers

  12. Formulation – Two Stage Stage 0 Stage 1 Stage 2 1 1 0 2 2 3 3

  13. Example #1

  14. Comparison with evp EVP HERBS • Max • Max

  15. Example #2

  16. Challenges • Curse of dimensionality • Simulating stochastic prices • Implementing large river chains • Solution integrity

  17. Opportunities • Effects of gate closures • Unintuitive offer strategies • Outer approximation (i.e. SDDP, DOASA) • Stochastic dynamic programming

  18. Thank You Questions?

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