Electric Power Optimization Centre
About EPOC
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.
2022 EPOC Winter Workshop September 12, 2022 The EPOC Winter Workshop for 2022 was held on Friday September 9.
The meeting agenda and presentations are now available for downloading at the link above.
Sample average approximation and model predictive control for inventory optimization
(pdf)D.S.T. Keehan, A.B. Philpott and E.J. Anderson ‒ May 29, 2023 Using JADE to analyse pumped storage in New Zealand
(pdf)A.B. Philpott and A. Downward ‒ March 28, 2023 Price discovery can be inefficient
(pdf)A.B. Philpott ‒ December 20, 2021 Welfare-maximizing transmission capacity expansion under uncertainty
(pdf)S. Wogrin, D. Tejada-Arango, A. Downward and A.B. Philpott ‒ January 22, 2021 Using JADE to model pumped storage
(pdf)Andy Philpott ‒ May 1, 2023
This is an online presentation about JADE made to NZ Battery Team at MBIE.
SDDP and model predictive control
(pdf)Andy Philpott, Dominic Keehan and Eddie Anderson ‒ November 29, 2022
Presentation at INFORMS, Seattle, 2022.
POUNAMUAndy Philpott and Tony DownwardPOUNAMU 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).
JADEAndy Philpott and Tony DownwardJADE 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.
Submission on Terms of Reference for Electricity Review
(pdf)January 19, 2018 Consultation on Transmission Pricing Methodology Second Issues Paper
(pdf)May 26, 2016
Arbitrage-free Pricing of Contingent Claims in Incomplete Markets via Moment
ProblemsChanaka Edirisinghe ‒ April 16, 2010This 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.
Living in a Carbon-based World: CO2 and its impact on the EU Power
Sector (ppt)Dr. Gavin Bell ‒ March 30, 2010The 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.