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Energy Portfolio Optimization for Electric Utilities: Case Study for Germany

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Energy, Natural Resources and Environmental Economics

Part of the book series: Energy Systems ((ENERGY))

Abstract

We discuss a portfolio optimization problem occurring in the energy market. Energy distributing public services have to decide how much of the requested energy demand has to be produced in their own power plant, and which complementary amount has to be bought from the spot market and from load following contracts. This problem is formulated as a mixed-integer linear programming problem and implemented in GAMS. The formulation is applied to real data of a German electricity distributor.

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Notes

  1. 1.

    We do not consider selling in the auction market in our model.

  2. 2.

    Weekend-base load contracts specify the delivery for 48 h, starting at Saturday 0:00 a.m. and ending on Sunday 12:00 p.m.; peak load contracts for the weekends are not offered.

  3. 3.

    For the real data of Stadtwerke Saarlouis, the running time of the continuous model compared to the binary model was less than 40%, it needed 45% of the iterations and 60% of the branching nodes.

  4. 4.

    Recognize that for this argument to be correct, we need also that the heuristics treat both the binary and the continuous case equivalently as well as factional solutions for the variables χ t S and χ t I are not rejected by the heuristics and during the branching process. However, just setting the branching priorities low, i.e. to value 10, has already a significant impact. For our case of the real data, the running time decreased by 30%.

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Acknowledgement

We would like to thank Peter Miebach (Mühlheim an der Ruhr, Germany) for providing the real-world case to us and his engagement in improving the description of the real world situation in this paper. Panos M. Pardalos and Steffen Rebennack are partially supported by AirForce and CRDF grants. The support is greatly appreciated.

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Authors and Affiliations

  1. Department of Industrial & Systems Engineering, Center for Applied Optimization, University of Florida, Weil Hall 303, 116595, Gainesville, FL, 32611-6595, USA

    Steffen Rebennack & Panos M. Pardalos

  2. Department of Astronomy, University of Florida, Weil Hall 303, 116595, Gainesville, FL, 32611-6595, USA

    Josef Kallrath

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  1. Steffen Rebennack
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  2. Josef Kallrath
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Correspondence to Steffen Rebennack .

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Editors and Affiliations

  1. Business Administration, Department of Science and Management Sci, Norwegian School of Economics and, Helleveien 30, Bergen, 5045, Norway

    Endre Bjørndal

  2. , Department of Science and Management Sci, Norwegian School of Economics and Busine, Helleveien 30, Bergen, 5045, Norway

    Mette Bjørndal

  3. Dept. Industrial & Systems, Engineering, University of Florida, Weil Hall 303, Gainesville, 32611-6595, Florida, USA

    Panos M. Pardalos

  4. Business Administration, Dept Science, Management Science, Norwegian School of Economics and, Helleveien 30, Bergen, 5045, Norway

    Mikael Rönnqvist

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Rebennack, S., Kallrath, J., Pardalos, P.M. (2010). Energy Portfolio Optimization for Electric Utilities: Case Study for Germany. In: Bjørndal, E., Bjørndal, M., Pardalos, P., Rönnqvist, M. (eds) Energy, Natural Resources and Environmental Economics. Energy Systems. Springer, Berlin, Heidelberg. https://doi.org/10.1007/978-3-642-12067-1_14

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  • DOI: https://doi.org/10.1007/978-3-642-12067-1_14

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