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首页> 外文期刊>Journal of Economic Dynamics and Control >An options pricing approach to ramping rate restrictions at hydro power plants
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An options pricing approach to ramping rate restrictions at hydro power plants

机译：水电厂加价限制的期权定价方法

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This paper investigates the impact of ramping rate restrictions imposed on hydro operations to protect aquatic ecosystems. The optimal ramping decision is specified as an optimal control problem which results in a Hamilton Jacobi Bellman (HJB) equation. Electricity prices are modelled as a regime switching stochastic process. The optimal control is determined by solving the HJB equation numerically using a fully implicit finite difference approach with semi-Lagrangian time stepping. The paper focuses on the effect of ramping restrictions on a hydro plant's value and optimal operations, and provides an analysis of which factors cause ramping restrictions to have a greater or lesser impact on profitability. It is shown that hydro plant value is negatively affected by ramping restrictions, but the extent of the impact depends on key parameters which determine the desirability of frequent changes in water release rates. Interestingly for the case considered, value is not sensitive to ramping restrictions over a large range of restrictions. The results point to the importance of accurately modelling electricity prices in gauging the trade offs involved in imposing restrictions on hydro operators which may hinder their ability to respond to volatile electricity prices and meet peak demands. (C) 2015 Elsevier B.V. All rights reserved.
机译：本文研究了为保护水生生态系统而对水力运行施加限制费率的影响。最佳斜坡决策被指定为导致汉密尔顿·雅各比·贝尔曼（HJB）方程的最佳控制问题。电价被建模为一种制度转换的随机过程。最佳控制是通过使用半拉格朗日时间步长的完全隐式有限差分方法通过数值求解HJB方程来确定的。本文着重于对水力发电厂价值和最佳运营的坡度限制的影响，并对导致坡度限制对盈利能力产生或多或少影响的因素进行了分析。结果表明，水力发电厂的价值受到坡度限制的负面影响，但是影响的程度取决于关键参数，这些参数决定了水释放速率频繁变化的必要性。对于所考虑的情况而言，有趣的是，值对在较大范围的限制上的渐变限制不敏感。结果表明，准确衡量电价在衡量对水电运营商施加限制时可能需要权衡取舍的重要性，这可能会阻碍他们应对波动的电价和满足高峰需求的能力。 （C）2015 Elsevier B.V.保留所有权利。

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