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Content Provider | IEEE Xplore Digital Library |
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Author | Chung-Li Tseng Barz, G. |
Copyright Year | 1999 |
Description | Author affiliation: Dept. of Civil Eng., Maryland Univ., College Park, MD, USA (Chung-Li Tseng) |
Abstract | We present a method for valuing a power plant over a short term period using Monte Carlo simulation. The power plant valuation problem is formulated as a multi stage stochastic problem. We assume there are hourly markets for both electricity and the fuel used by the generator, and their prices follow some Ito processes. At each hour, the power plant operator must decide to run or not to run the unit so as to maximize expected profit. A certain lead time for commitment decision is necessary to start up a unit. The commitment decision, once made, is subject to physical constraints such as minimum uptime and downtime constraints. The generator's startup cost, is also taken into account in our model. The Monte Carlo method is employed not only in forward moving simulation, but also backward moving recursion of dynamic programming. We demonstrate through numerical tests how the physical constraints affect a power plant value. |
File Size | 335249 |
File Format | |
ISBN | 0769500013 |
DOI | 10.1109/HICSS.1999.772863 |
Language | English |
Publisher | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
Publisher Date | 1999-01-05 |
Publisher Place | USA |
Access Restriction | Subscribed |
Rights Holder | Institute of Electrical and Electronics Engineers, Inc. (IEEE) |
Subject Keyword | Cost accounting Power generation Fuels Stochastic processes Constraint theory Civil engineering Educational institutions Indium tin oxide Dynamic programming Testing |
Content Type | Text |
Resource Type | Article |
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