Wind Farm Portfolio Optimization under Network Capacity Constraints

摘要: In this article, we provide a new methodology for optimizing portfolio of wind farms within market environment, two Market Designs (exogenous prices and endogenous prices). Our model is built on an agent based representation suppliers generators interacting in certain number geographic demand markets, organized as tiered systems. Assuming rational expectation the agents with respect to outcome real-time market, take forward positions, which act signals day-ahead compensate uncertainty associated supply demand. Then, optimize their bilateral trades other markets. The Nash Equilibria resulting from Signaling Game are characterized using Theory. Markowitz Frontier, containing set efficient farm portfolios, derived theoretically function concentration. Finally, case study France, Germany Belgium, simulate Frontier contour expected cost-risk plane.