Valuation of wind energy projects: A real options approach

27 p.

Valuation of Wind Energy Projects: A Real Options Approach

We address the valuation of an operating wind farm and the finite-lived option to invest in it under different reward/support schemes: a constant feed-in tariff, a premium on top of the electricity market price (either a fixed premium or a variable subsidy such as a renewable obligation certificate or ROC), and a transitory subsidy, among others. Futures contracts on electricity with ever longer maturities enable market-based valuations to be undertaken. The model considers up to three sources of uncertainty: the electricity price, the level of wind generation, and the certificate (ROC) price where appropriate. When analytical solutions are lacking, we resort to a trinomial lattice combined with Monte Carlo simulation; we also use a two-dimensional binomial lattice when uncertainty in the ROC price is considered. Our data set refers to the UK. The numerical results show the impact of several factors involved in the decision to invest: the subsidy per MWh generated, the initial lump-sum subsidy, the maturity of the investment option, and electricity price volatility. Different combinations of variables can help bring forward investments in wind generation. One-off policies, e.g., a transitory initial subsidy, seem to have a stronger effect than a fixed premium per MWh produced.

The Impact of Regulation on Pricing Behavior in the Spanish Electricity Market

In this paper we measure the impact of regulatory measures which affected the Spanish electricity wholesale market in the period 2002-2005. Our approach is based on the fact that regulation changes firms' incentives and therefore their market behavior. In the absence of any regulation firms would choose profit- maximizing prices on their residual demands so that the observed gap between optimal and actual prices provides a measure of the effect of regulation. Our results indicate that regulation has decreased wholesale prices considerably, but became less effective at the end of the sample period which explains the change of regulatory regime introduced in 2006.

A Supply Function Competition Model for the Spanish Wholesale Electricity Market

We model the Spanish wholesale market as a multiplant linear supply function competition model. According to the theory, the larger generators should have supply curves for each plant which are to the left of the supply curves of plants owned by smaller generators. We test this prediction for fuel plants using data from the Spanish Market Operator (OMEL) from May 2001 to December 2003. Our results indicate that the prediction of the model holds.

Market Power in the Spanish Electricity Auction

Published as an article in: Journal of Regulatory Economics, 2010, vol. 37, issue 1, pages 42-69.

Strategic Behavior and Collusion: An Application to the Spanish Electricity Market

The paper has two major contributions to the theory of repeated games. First, we build a supergame oligopoly model where firms compete in supply functions, we show how collusion sustainability is affected by the presence of a convex cost function, the magnitude of both the slope of demand market, and the number of rivals. Then, we compare the results with those of the traditional Cournot reversion under the same structural characteristics. We find how depending on the number of firms and the slope of the linear demand, collusion sustainability is easier under supply function than under Cournot competition. The conclusions of the models are simulated with data from the Spanish wholesale electricity market to predict lower bounds of the discount factors.

Empirical Doppler Characterization of Signals Scattered by Wind Turbines in the UHF Band under Near Field Condition

Time variability of the scattering signals from wind turbines may lead to degradation problems on the communication systems provided in the UHF band, especially under near field condition. In order to analyze the variability due to the rotation of the blades, this paper characterizes empirical Doppler spectra obtained from real samples of signals scattered by wind turbines with rotating blades under near field condition. A new Doppler spectrum model is proposed to fit the spectral characteristics of these signals, providing notable goodness of fit. Finally, the effect of this kind of time variability on the degradation of OFDM signals is studied.

"Band of Angels": una adaptación cinematográfica bajo la sombra de "Gone with the wind"

Santamaría, José Miguel; Pajares, Eterio; Olsen, Vickie; Merino, Raquel; Eguíluz, Federico (eds.)

Mitigation Techniques to Reduce the Impact of Wind Turbines on Radar Services

Radar services are occasionally affected by wind farms. This paper presents a comprehensive description of the effects that a wind farm may cause on the different radar services, and it compiles a review of the recent research results regarding the mitigation techniques to minimize this impact. Mitigation techniques to be applied at the wind farm and on the radar systems are described. The development of thorough impact studies before the wind farm is installed is presented as the best way to analyze in advance the potential for interference, and subsequently identify the possible solutions to allow the coexistence of wind farms and radar services.

Enhanced Operation of Electricity Distribution Grids Through Smart Metering PLC Network Monitoring, Analysis and Grid Conditioning

Low Voltage (LV) electricity distribution grid operations can be improved through a combination of new smart metering systems' capabilities based on real time Power Line Communications (PLC) and LV grid topology mapping. This paper presents two novel contributions. The first one is a new methodology developed for smart metering PLC network monitoring and analysis. It can be used to obtain relevant information from the grid, thus adding value to existing smart metering deployments and facilitating utility operational activities. A second contribution describes grid conditioning used to obtain LV feeder and phase identification of all connected smart electric meters. Real time availability of such information may help utilities with grid planning, fault location and a more accurate point of supply management.

Sliding Mode Control Strategy for Wind Turbine Power Maximization

The efficiency of the wind power conversions systems can be greatly improved using an appropriate control algorithm. In this work, a sliding mode control for variable speed wind turbine that incorporates a doubly fed induction generator is described. The electrical system incorporates a wound rotor induction machine with back-to-back three phase power converter bridges between its rotor and the grid. In the presented design the so-called vector control theory is applied, in order to simplify the electrical equations. The proposed control scheme uses stator flux-oriented vector control for the rotor side converter bridge control and grid voltage vector control for the grid side converter bridge control. The stability analysis of the proposed sliding mode controller under disturbances and parameter uncertainties is provided using the Lyapunov stability theory. Finally simulated results show, on the one hand, that the proposed controller provides high-performance dynamic characteristics, and on the other hand, that this scheme is robust with respect to the uncertainties that usually appear in the real systems.

Valuing Expansions of the Electricity Transmission Network under Uncertainty: The Binodal Case

Transmission investments are currently needed to meet an increasing electricity demand, to address security of supply concerns, and to reach carbon-emissions targets. A key issue when assessing the benefits from an expanded grid concerns the valuation of the uncertain cash flows that result from the expansion. We propose a valuation model that accommodates both physical and economic uncertainties following the Real Options approach. It combines optimization techniques with Monte Carlo simulation. We illustrate the use of our model in a simplified, two-node grid and assess the decision whether to invest or not in a particular upgrade. The generation mix includes coal-and natural gas-fired stations that operate under carbon constraints. The underlying parameters are estimated from observed market data.

Robust speed control for a variable speed wind turbine

Modern wind turbines are designed in order to work in variable speed opera-tions. To perform this task, these turbines are provided with adjustable speed generators, like the double feed induction generator (DFIG). One of the main advantages of adjustable speed generators is improving the system efficiency compared with _xed speed generators, because turbine speed can be adjusted as a function of wind speed in order to maximize the output power. However, this system requires a suitable speed controller in order to track the optimal reference speed of the wind turbine. In this work, a sliding mode control for variable speed wind turbines is proposed. The proposed design also uses the vector oriented control theory in order to simplify the DFIG dynamical equations. The stability analysis of the proposed controller has been carried out under wind variations and pa-rameter uncertainties using the Lyapunov stability theory. Finally, the simulated results show on the one hand that the proposed controller provides a high-performance dynamic behavior, and on the other hand that this scheme is robust with respect to parameter uncertainties and wind speed variations, which usually appear in real systems.

Adaptive variable structure control law for a variable speed wind turbine

Presentado en el 13th WSEAS International Conference on Automatic Control, Modelling and Simulation, ACMOS'11

An adaptive sliding mode control law for the power maximization of the wind turbine system

POWERENG 2011