Our research uses mathematical modelling, optimization and statistical tools to comprehend modern electricity markets such as the NZEM, and to analyze and develop methods for efficient generation schemes and demand-side participation.

The EPOC Winter Workshop for 2023 was held on Monday August 28. The presentations are now available for downloading at the link above.

For details see the link.

This is an online presentation about JADE made to NZ Battery Team at MBIE.

Presentation at INFORMS, Seattle, 2022.

POUNAMU forms a component of the ZERO project which aims to develop platform of tools to plan the transition of New Zealand to a zero-carbon economy by 2050. The aim of POUNAMU is to optimize the deployment of short-term storage devices to deal with intermittent energy supply from renewables (wind, solar and run-of-river hydro). POUNAMU will be based a short-term electricity optimization model that will be solved using sddp.jl (for convex problems) or JuDAS.jl (for non convex problems).

JADE is an infinite-horizon SDDP model for the New Zealand electricity system. This project will extend an existing single reservoir model (written in Julia and based on sddp.jl) to a multi-reservoir framework incorporating transmission losses and constraints. The new software will admit models with different levels of risk aversion applied to inflows as well as aother factors such as demand and fuel costs. The project will also investigate a distributionally robust version of SDDP applied in this setting.

This talk covers pricing of contingent claims, such as financial options, using discrete time stochastic programming under multi-period scenario trees. It is well known that the absence of arbitrage profits in the state space is equivalent to the existence of a martingale probability measure when there are no transactions costs. When such trees are utilized in stochastic programming in pricing contingent claims defined on the state space, the problem reduces to one of solving a generalized moment problem at each node. Appealing to well-known bounding results from the literature, I propose a simplicial upper bounding procedure based on recursive backward dynamic programming. This serves to formalize the known results as well as to provide extensions. The results are also generalized to the case of when proportional transactions costs are present for trading. With increased transactions costs, it is shown why arbitrage-free multi-period (state price) scenario trees are easier to generate. Geometric interpretations and preliminary computational results will be presented.

The EU ETS, launched in 2005, is the world's first international cap-and trade system governing CO2 emissions. The consideration of carbon, its pricing and business implications has become key for all actors in the European power sector, from board level to the trading floor. As well as providing a brief background and overview of the EU ETS and European power market(s), this talk will provide a personal experience of the changing impact of the ETS on the pricing of power, investment decisions, trading, hedging and analysis. We will also touch briefly on some key trends driving developments within the EU energy complex, of which CO2 forms an integral part.

Talks now available for download.

Talks now available for download.