Real Options for Planning, Operating, and Analyzing Energy Systems

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行方式。我和我的学生们一直致力于优化各种能源基础设施的运营和评估。这些设施包括水力发电厂、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不确定、环境流入不确定和政府价格补贴变化的不确定条件下。这种双重优化/估值过程通常被称为实物期权（RO）范式。与金融期权一样，基础设施实物期权因其对价格变化或其他环境或监管不确定性的反应能力而获得价值，并使用随机最优控制方法定价。耦合最优控制/估值问题是一个偏微分方程，需要复杂的求解方法。能源系统RO范式的概念承诺只有在开发出足够现实的模型、适合实际数据并得到实际数据验证的情况下，才能真正具有实际意义。创建这样的模型并支持它们的工业应用是我研究计划的长期目标。该计划的成功将分多个阶段进行，每个阶段都适合HQP的培训。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，时变补贴；变化的当前和不确定的未来法规）工程方面（不断变化的存储商品和预测组件故障的能力）和金融现实（在远期和现货市场进行交易的能力）。我将通过国际石油市场、美国玉米乙醇市场和安大略省电力市场的案例研究来解决这些问题。我将对这些模型进行拟合，并对实际数据进行测试。这项工作将为世界石油市场的技术动机和行动者动机之间的相互作用提供重要的定量信息，并将对能源丰富的加拿大经济的政策制定者有用。在这组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，包括系统成本和相关滞后的复杂性，以及存储容量和远期市场交易的相关能力，对于面临运营决策的乙醇生产商和考虑政策创新的政府决策者都将具有很大的价值。通过对未来电价的预测和数据驱动故障预测的发展，风电涡轮机的最佳更换工作将为安大略省风能生产商和监管机构提供重要工具，因为他们面临着电价后市场价格的巨大不确定性。

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.