Real Options for Planning, Operating, and Analyzing Energy Systems

规划、运营和分析能源系统的实物期权

• 批准号: RGPIN-2020-06667
• 负责人: Davison, Matt
• 金额: $ 2.62万
• 依托单位: University of Western Ontario
• 依托单位国家: 加拿大
• 项目类别: Discovery Grants Program - Individual
• 财政年份: 2020
• 资助国家: 加拿大
• 起止时间: 2020-01-01 至 2021-12-31
• 项目状态: 已结题
• 来源: https://www.nserc-crsng.gc.ca/ase-oro/Details-Detailles_eng.asp?id=718417
• 关键词: Real; Options; Planning; Operating; Analyzing

My work is about how financial and other uncertainties impact the way in which energy systems are designed and operated. My students and I have worked on optimizing operations of and valuing various types of energy infrastructure. These include hydroelectric power plants, natural gas storage facilities, corn ethanol refineries and oil tankers for storing crude oil. This optimization occurs under price uncertainty as well as uncertainties in environmental inflow uncertainty and changing government price subsidies. This dual optimize/valuation process is often called the real options (RO) paradigm. Infrastructure real options, like financial options, gain value from their ability to react to changing prices or other environmental or regulatory uncertainties, and are priced using stochastic optimal control methodology. The coupled optimal control/valuation problem is cast as a partial differential equation which requires sophisticated solution methods. The conceptual promise of the RO paradigm for energy systems can be of real practical relevance only if sufficiently realistic models, fit to and validated by real data, are developed. Creating such models and supporting their industrial application is the long run goal of my research program. The success of this program will proceed by many stages, each suitable for training HQP. My intermediate project goals include steps to improve RO models to deal with: economic realities (price impact, time varying subsidies; varying current and uncertain future regulations) engineering aspects (changing abilities to store commodities and predict component failures) and financial realism (the ability to transact in forward as well as spot markets). I will attack these problems using case studies drawn from the international oil market, the US corn ethanol market, and the Ontario electricity market. I will fit these models to and test them against actual data. This work will shed vital quantitative light on the interplay between technical and actor motivations on world oil markets and will be useful for policy makers in the energy-rich Canadian economy. This techniques and methodologies developed in this set of projects will help better understand the way in which market structures and the goals of market participants affect market participant behavior and hence market dynamics. The ethanol models built here, which include complexities of systems costs and related hysteresis, together with storage capacity and associated ability to trade in forward markets, will be of great value both for ethanol producers facing operational decisions and for government decision makers considering policy innovations. Work on optimal replacement of wind turbines, with projections of future power prices and development of data driven failure predictions, will provide crucial tools to Ontario wind energy producers and regulators alike as they face huge uncertainty about post-feed in tariff market prices.

我的工作是关于金融和其他不确定性如何影响能源系统的设计和运营方式。我和我的学生致力于优化各种能源基础设施的运营和评估。 其中包括水力发电厂、天然气储存设施、玉米乙醇精炼厂和储存原油的油轮。这种优化发生在价格的不确定性以及环境流入的不确定性和不断变化的政府价格补贴的不确定性。 这种双重优化/估值过程通常被称为真实的期权（RO）范式。 基础设施真实的期权与金融期权一样，从其对价格变化或其他环境或监管不确定性的反应能力中获得价值，并使用随机最优控制方法定价。 耦合的最优控制/评估问题被视为一个偏微分方程，需要复杂的求解方法。 只有开发出符合实际数据并经真实的数据验证的足够现实的模型，RO范式对能源系统的概念承诺才具有真实的的实际意义。创建这样的模型并支持其工业应用是我的研究计划的长期目标。该计划的成功将通过许多阶段进行，每个阶段都适合培训HQP。 我的中期项目目标包括改进RO模型的步骤，以处理：经济现实（价格影响，随时间变化的补贴;变化的当前和不确定的未来法规）工程方面（改变储存商品和预测组件故障的能力）和金融现实主义（在远期和现货市场交易的能力）。 我将使用来自国际石油市场、美国玉米乙醇市场和安大略电力市场的案例研究来解决这些问题。我将根据实际数据拟合这些模型并进行测试。 这项工作将揭示至关重要的定量之间的相互作用的技术和演员的动机在世界石油市场上，并将在能源丰富的加拿大经济的决策者有用。 在这一系列项目中开发的技术和方法将有助于更好地理解市场结构和市场参与者的目标如何影响市场参与者的行为，从而影响市场动态。 这里建立的乙醇模型，其中包括系统成本和相关滞后的复杂性，以及存储容量和相关的能力，在远期市场交易，将是非常有价值的乙醇生产商面临的经营决策和政府决策者考虑政策创新。 风力涡轮机的最佳更换工作，以及未来电价预测和数据驱动故障预测的发展，将为安大略风能生产商和监管机构提供关键工具，因为他们面临巨大的不确定性， 在关税市场价格后饲料。