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.
EPOC Winter Workshop June 13, 2025 The EPOC Winter Workshop for 2025 will be held on Friday September 5 at the University of Auckland.
GEEC Established February 08, 2024 The University of Auckland approved the Green Energy Engineering Centre as an Engineering Faculty Centre at the University of Auckland.
EPOC Director Prof. Andy Philpott will be the Director of the new centre. More details can be found at this link.
2023 EPOC Winter Workshop August 10, 2023 The EPOC Winter Workshop for 2023 was held on Monday August 28.
The presentations are now available for downloading at the link above.
Sampling in the backward pass of SDDP
(pdf)A.B. Philpott ‒ June 4, 2025 Ten challenges for mathematical modeling of the energy transition
(pdf)E.J. Anderson, M.C. Ferris, A.B. Philpott, M. Anitescu, P. Cramton, S. Geng, R. Green, T. Homem de Mello, O. Huber, V. Leclere and R. Sioshansi ‒ March 14, 2025 On the out-of-sample performance of stochastic dynamic programming and model predictive control (updated)
(pdf)D.T. Keehan, A.B. Philpott and E.J. Anderson ‒ December 1, 2024 Optimizing green energy sytems
(pdf)M.C. Ferris and A.B. Philpott ‒ December 1, 2024 Models for wholesale electricity market analysis
(pdf)Andy Philpott ‒ June 11, 2025
Energy Centre Seminar, University of Auckland, June 11, 2025
Experimenting with SDDP: lessons from New Zealand
(pdf)Andy Philpott ‒ May 26, 2025
Presentation at Hydro Scheduling Conference, Rio de Janeiro, May 26, 2025
Graduate Research Topics
EMERALDAndy PhilpottEMERALD is a Julia package for optimizing long-term capacity investment
for 100% renewable electricity systems. It is based on JuDGE.jl, which
minimizes the expected cost of meeting uncertain demand over a long time horizon, using a
Dantzig-Wolfe decomposition algorithm. The time horizons are many years,
and so modelling risk is important. This project will develop an approach to incorporate
risk aversion into EMERALD.
Submission on Level Playing Field Measures
(pdf)April 23, 2025 Submission on MDAG Price Discovery under 100 Percent Renewables
(pdf)March 16, 2022
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.