Hybrid wind-diesel power plant valuation and optimization using real option theory and dynamic programming

El sistema de energía eólica-diesel híbrido tiene un gran potencial en la prestación de suministro de energía a comunidades remotas. En comparación con los sistemas tradicionales de diesel, las plantas de energía híbridas ofrecen grandes ventajas tales como el suministro de capacidad de energía extra para "microgrids", reducción de los contaminantes y emisiones de gases de efecto invernadero, y la cobertura del riesgo de aumento inesperado del precio del combustible. El principal objetivo de la presente tesis es proporcionar nuevos conocimientos para la evaluación y optimización de los sistemas de energía híbrido eólico-diesel considerando las incertidumbres. Dado que la energía eólica es una variable estocástica, ésta no puede ser controlada ni predecirse con exactitud. La naturaleza incierta del viento como fuente de energía produce serios problemas tanto para la operación como para la evaluación del valor del sistema de energía eólica-diesel híbrido. Por un lado, la regulación de la potencia inyectada desde las turbinas de viento es una difícil tarea cuando opera el sistema híbrido. Por otro lado, el bene.cio económico de un sistema eólico-diesel híbrido se logra directamente a través de la energía entregada a la red de alimentación de la energía eólica. Consecuentemente, la incertidumbre de los recursos eólicos incrementa la dificultad de estimar los beneficios globales en la etapa de planificación. La principal preocupación del modelo tradicional determinista es no tener en cuenta la incertidumbre futura a la hora de tomar la decisión de operación. Con lo cual, no se prevé las acciones operativas flexibles en respuesta a los escenarios futuros. El análisis del rendimiento y simulación por ordenador en el Proyecto Eólico San Cristóbal demuestra que la incertidumbre sobre la energía eólica, las estrategias de control, almacenamiento de energía, y la curva de potencia de aerogeneradores tienen un impacto significativo sobre el rendimiento del sistema. En la presente tesis, se analiza la relación entre la teoría de valoración de opciones y el proceso de toma de decisiones. La opción real se desarrolla con un modelo y se presenta a través de ejemplos prácticos para evaluar el valor de los sistemas de energía eólica-diesel híbridos. Los resultados muestran que las opciones operacionales pueden aportar un valor adicional para el sistema de energía híbrida, cuando esta flexibilidad operativa se utiliza correctamente. Este marco se puede aplicar en la optimización de la operación a corto plazo teniendo en cuenta la naturaleza dependiente de la trayectoria de la política óptima de despacho, dadas las plausibles futuras realizaciones de la producción de energía eólica. En comparación con los métodos de valoración y optimización existentes, el resultado del caso de estudio numérico muestra que la política de operación resultante del modelo de optimización propuesto presenta una notable actuación en la reducción del con- sumo total de combustible del sistema eólico-diesel. Con el .n de tomar decisiones óptimas, los operadores de plantas de energía y los gestores de éstas no deben centrarse sólo en el resultado directo de cada acción operativa, tampoco deberían tomar decisiones deterministas. La forma correcta es gestionar dinámicamente el sistema de energía teniendo en cuenta el valor futuro condicionado en cada opción frente a la incertidumbre. ABSTRACT Hybrid wind-diesel power systems have a great potential in providing energy supply to remote communities. Compared with the traditional diesel systems, hybrid power plants are providing many advantages such as providing extra energy capacity to the micro-grid, reducing pollution and greenhouse-gas emissions, and hedging the risk of unexpected fuel price increases. This dissertation aims at providing novel insights for assessing and optimizing hybrid wind-diesel power systems considering the related uncertainties. Since wind power can neither be controlled nor accurately predicted, the energy harvested from a wind turbine may be considered a stochastic variable. This uncertain nature of wind energy source results in serious problems for both the operation and value assessment of the hybrid wind-diesel power system. On the one hand, regulating the uncertain power injected from wind turbines is a difficult task when operating the hybrid system. On the other hand, the economic profit of a hybrid wind-diesel system is achieved directly through the energy delivered to the power grid from the wind energy. Therefore, the uncertainty of wind resources has increased the difficulty in estimating the total benefits in the planning stage. The main concern of the traditional deterministic model is that it does not consider the future uncertainty when making the dispatch decision. Thus, it does not provide flexible operational actions in response to the uncertain future scenarios. Performance analysis and computer simulation on the San Cristobal Wind Project demonstrate that the wind power uncertainty, control strategies, energy storage, and the wind turbine power curve have a significant impact on the performance of the system. In this dissertation, the relationship between option pricing theory and decision making process is discussed. A real option model is developed and presented through practical examples for assessing the value of hybrid wind-diesel power systems. Results show that operational options can provide additional value to the hybrid power system when this operational flexibility is correctly utilized. This framework can be applied in optimizing short term dispatch decisions considering the path-dependent nature of the optimal dispatch policy, given the plausible future realizations of the wind power production. Comparing with the existing valuation and optimization methods, result from numerical example shows that the dispatch policy resulting from the proposed optimization model exhibits a remarkable performance in minimizing the total fuel consumption of the wind-diesel system. In order to make optimal decisions, power plant operators and managers should not just focus on the direct outcome of each operational action; neither should they make deterministic decisions. The correct way is to dynamically manage the power system by taking into consideration the conditional future value in each option in response to the uncertainty.

Developing real option game models

By mixing concepts from both game theoretic analysis and real options theory, an investment decision in a competitive market can be seen as a ‘‘game’’ between firms, as firms implicitly take into account other firms’ reactions to their own investment actions. We review two decades of real option game models, suggesting which critical problems have been ‘‘solved’’ by considering game theory, and which significant problems have not been yet adequately addressed. We provide some insights on the plausible empirical applications, or shortfalls in applications to date, and suggest some promising avenues for future research.

Regional IAM: analysis of risk-adjusted costs and benefits of climate policies

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Real-time analysis of the interaction between calmodulin and melittin by SPR spectroscopy

The dynamic interaction process of calmodulin with an immobilized peptide melittin was investigated in real time by surface plasmon resonance spectroscopy, and dissociation constant of the complex was calculated to be 3.37 x 10(-6) mol/L.

Real time analysis of atmospheric single particles in urban environments using aerosol time of flight mass spectrometry

In order to determine the size-resolved chemical composition of single particles in real-time an ATOFMS was deployed at urban background sites in Paris and Barcelona during the MEGAPOLI and SAPUSS monitoring campaigns respectively. The particle types detected during MEGAPOLI included several carbonaceous species, metal-containing types and sea-salt. Elemental carbon particle types were highly abundant, with 86% due to fossil fuel combustion and 14% attributed to biomass burning. Furthermore, 79% of the EC was apportioned to local emissions and 21% to continental transport. The carbonaceous particle types were compared with quantitative measurements from other instruments, and while direct correlations using particle counts were poor, scaling of the ATOFMS counts greatly improved the relationship. During SAPUSS carbonaceous species, sea-salt, dust, vegetative debris and various metal-containing particle types were identified. Throughout the campaign the site was influenced by air masses altering the composition of particles detected. During North African air masses the city was heavily influenced by Saharan dust. A regional stagnation was also observed leading to a large increase in carbonaceous particle counts. While the ATOFMS provides a list of particle types present during the measurement campaigns, the data presented is not directly quantitative. The quantitative response of the ATOFMS to metals was examined by comparing the ion signals within particle mass spectra and to hourly mass concentrations of; Na, K, Ca, Ti, V, Cr, Mn, Fe, Zn and Pb. The ATOFMS was found to have varying correlations with these metals depending on sampling issues such as matrix effects. The strongest correlations were observed for Al, Fe, Zn, Mn and Pb. Overall the results of this work highlight the excellent ability of the ATOFMS in providing composition and mixing state information on atmospheric particles at high time resolution. However they also show its limitations in delivering quantitative information directly.

Valuing an offshore exploration project through real options analysis

This thesis applied real options analysis to the valuation of an offshore oil exploration project, taking into consideration the several options typically faced by the management team of these projects. The real options process is developed under technical and price uncertainties, where it is considered that the mean reversion stochastic process is more adequate to describe the movement of oil price throught time. The valuation is realized to two case scenarios, being the first a simplified approach to develop the intuition of the used concepts, and the later a more complete cases that is resolved using both the binomial and trinomial processes to describe oil price movement. Real options methodology demonstrated to be capable of assessing and valuing the projects options, and of overcoming common capital budgeting methodologies flexibility limitation. The added value of the application of real options is evident, but so is the method's increased complexity, which adversely influence its widespread implementation.

Real option pricing in mixed-use development projects

The application of real options theory to commercial real estate has developed rapidly during the last 15 Years. In particular, several pricing models have been applied to value real options embedded in development projects. In this study we use a case study of a mixed use development scheme and identify the major implied and explicit real options available to the developer. We offer the perspective of a real market application by exploring different binomial models and the associated methods of estimating the crucial parameter of volatility. We include simple binomial lattices, quadranomial lattices and demonstrate the sensitivity of the results to the choice of inputs and method.

Fuzzy analysis: a vague way of dealing with uncertainty in real estate analysis?

Risk and uncertainty are, to say the least, poorly considered by most individuals involved in real estate analysis - in both development and investment appraisal. Surveyors continue to express 'uncertainty' about the value (risk) of using relatively objective methods of analysis to account for these factors. These methods attempt to identify the risk elements more explicitly. Conventionally this is done by deriving probability distributions for the uncontrolled variables in the system. A suggested 'new' way of "being able to express our uncertainty or slight vagueness about some of the qualitative judgements and not entirely certain data required in the course of the problem..." uses the application of fuzzy logic. This paper discusses and demonstrates the terminology and methodology of fuzzy analysis. In particular it attempts a comparison of the procedures with those used in 'conventional' risk analysis approaches and critically investigates whether a fuzzy approach offers an alternative to the use of probability based analysis for dealing with aspects of risk and uncertainty in real estate analysis

A note on the use of spreadsheet optimisers in real estate analysis

Modern Portfolio Theory (MPT) has been advocated as a more rational approach to the construction of real estate portfolios. The application of MPT can now be achieved with relative ease using the powerful facilities of modern spreadsheet, and does not necessarily need specialist software. This capability is to be found in the use of an add-in Tool now found in several spreadsheets, called an Optimiser or Solver. The value in using this kind of more sophisticated analysis feature of spreadsheets is increasingly difficult to ignore. This paper examines the use of the spreadsheet Optimiser in handling asset allocation problems. Using the Markowitz Mean-Variance approach, the paper introduces the necessary calculations, and shows, by means of an elementary example implemented in Microsoft's Excel, how the Optimiser may be used. Emphasis is placed on understanding the inputs and outputs from the portfolio optimisation process, and the danger of treating the Optimiser as a Black Box is discussed.

Are real options a real option for real-world finance professionals? case study : the application of real options to evaluate investment projects in the latin american oil and gas field services industry

Brasil e outros mercados emergentes continuarão a apresentar muitas oportunidades de investimento nos próximos anos. Profissionais financeiros que gerenciam os processos de orçamento de capital nas empresas terão grandes desafios a enfrentar. Características específicas destes projetos como preços ligados a commodities (por exemplo: petróleo e gás e projetos agrícolas) e as incertezas habituais relacionadas com os mercados emergentes são desafios adicionais. Neste cenário, ferramentas mais sofisticadas de orçamento de capital como Opções Reais, oferece uma teoria mais robusta para lidar com incerteza, flexibilidade gerencial, e os resultados voláteis embutidas nestas oportunidades. A teoria de Opções Reais assume que o envolvimento dos gestores nos projetos gera valor à medida que potencializam os bons resultados ou reduzem as perdas por abandonar projetos com maus resultados. O objetivo principal desta pesquisa foi aplicar a análise de Opções Reais para um projeto de investimento e discutir o processo e os resultados da metodologia. O estudo de caso analisa retroativamente um projeto de investimento na Colômbia e compara os resultados sob o tradicional VPL e Opções Reais. As técnicas de avaliação foram realizadas como se estivessem sendo aplicadas no momento em que o projeto foi aprovado, e depois comparadas com o desempenho real do projeto. O estudo de caso avaliado possui dois tipos de Opções Reais: primeiro, o efeito de uma opção para cancelar um contrato que é analisado a partir da perspectiva do cliente que pode exercer essa opção, e o segundo, a opção de abandonar e adiar a partir da perspectiva da empresa que irá executar a investimento.

Microarray based real-time analysis of nucleic acid hybridization kinetics and thermodynamics

Ziel dieser Dissertation ist die experimentelle Charakterisierung und quantitative Beschreibung der Hybridisierung von komplementären Nukleinsäuresträngen mit oberflächengebundenen Fängermolekülen für die Entwicklung von integrierten Biosensoren. Im Gegensatz zu lösungsbasierten Verfahren ist mit Microarray Substraten die Untersuchung vieler Nukleinsäurekombinationen parallel möglich. Als biologisch relevantes Evaluierungssystem wurde das in Eukaryoten universell exprimierte Actin Gen aus unterschiedlichen Pflanzenspezies verwendet. Dieses Testsystem ermöglicht es, nahe verwandte Pflanzenarten auf Grund von geringen Unterschieden in der Gen-Sequenz (SNPs) zu charakterisieren. Aufbauend auf dieses gut studierte Modell eines House-Keeping Genes wurde ein umfassendes Microarray System, bestehend aus kurzen und langen Oligonukleotiden (mit eingebauten LNA-Molekülen), cDNAs sowie DNA und RNA Targets realisiert. Damit konnte ein für online Messung optimiertes Testsystem mit hohen Signalstärken entwickelt werden. Basierend auf den Ergebnissen wurde der gesamte Signalpfad von Nukleinsärekonzentration bis zum digitalen Wert modelliert. Die aus der Entwicklung und den Experimenten gewonnen Erkenntnisse über die Kinetik und Thermodynamik von Hybridisierung sind in drei Publikationen zusammengefasst die das Rückgrat dieser Dissertation bilden. Die erste Publikation beschreibt die Verbesserung der Reproduzierbarkeit und Spezifizität von Microarray Ergebnissen durch online Messung von Kinetik und Thermodynamik gegenüber endpunktbasierten Messungen mit Standard Microarrays. Für die Auswertung der riesigen Datenmengen wurden zwei Algorithmen entwickelt, eine reaktionskinetische Modellierung der Isothermen und ein auf der Fermi-Dirac Statistik beruhende Beschreibung des Schmelzüberganges. Diese Algorithmen werden in der zweiten Publikation beschrieben. Durch die Realisierung von gleichen Sequenzen in den chemisch unterschiedlichen Nukleinsäuren (DNA, RNA und LNA) ist es möglich, definierte Unterschiede in der Konformation des Riboserings und der C5-Methylgruppe der Pyrimidine zu untersuchen. Die kompetitive Wechselwirkung dieser unterschiedlichen Nukleinsäuren gleicher Sequenz und die Auswirkungen auf Kinetik und Thermodynamik ist das Thema der dritten Publikation. Neben der molekularbiologischen und technologischen Entwicklung im Bereich der Sensorik von Hybridisierungsreaktionen oberflächengebundener Nukleinsäuremolekülen, der automatisierten Auswertung und Modellierung der anfallenden Datenmengen und der damit verbundenen besseren quantitativen Beschreibung von Kinetik und Thermodynamik dieser Reaktionen tragen die Ergebnisse zum besseren Verständnis der physikalisch-chemischen Struktur des elementarsten biologischen Moleküls und seiner nach wie vor nicht vollständig verstandenen Spezifizität bei.

Financial decision making about found oil and gas in Ghana : real options vs. traditional methods

This research is a study of the use of capital budgeting methods for investment decisions. It uses both the traditional methods and the newly introduced approach called the real options analysis to make a decision. The research elucidates how capital budgeting can be done when analysts encounter projects with high uncertainty and are capital intensive, for example oil and gas production. It then uses the oil and gas find in Ghana as a case study to support its argument. For a clear understanding a thorough literature review was done, which highlights the advantages and disadvantages of both methods. The revenue that the project will generate and the costs of production were obtained from the predictions by analysts from GNPC and compared to others experts’ opinion. It then applied both the traditional and real option valuation on the oil and gas find in Ghana to determine the project’s feasibility. Although, there are some short falls in real option analysis that are presented in this research, it is still helpful in valuing projects that are capital intensive with high volatility due to the strategic flexibility management possess in their decision making. It also suggests that traditional methods of evaluation should still be maintained and be used to value projects that have no options or those with options yet the options do not have significant impact on the project. The research points out the economic ripples the production of oil and gas will have on Ghana’s economy should the project be undertaken. These ripples include economic growth, massive job creation and reduction of the balance of trade deficit for the country. The long run effect is an eventually improvement of life of the citizens. It is also belief that the production of gas specifically can be used to generate electricity in Ghana which would enable the country to have a more stable and reliable power source necessary to attract more foreign direct investment.

Real-time analysis of δ13C- and δD-CH4 in ambient air with laser spectroscopy: method development and first intercomparison results

In situ and simultaneous measurement of the three most abundant isotopologues of methane using mid-infrared laser absorption spectroscopy is demonstrated. A field-deployable, autonomous platform is realized by coupling a compact quantum cascade laser absorption spectrometer (QCLAS) to a preconcentration unit, called trace gas extractor (TREX). This unit enhances CH4 mole fractions by a factor of up to 500 above ambient levels and quantitatively separates interfering trace gases such as N2O and CO2. The analytical precision of the QCLAS isotope measurement on the preconcentrated (750 ppm, parts-per-million, µmole mole−1) methane is 0.1 and 0.5 ‰ for δ13C- and δD-CH4 at 10 min averaging time. Based on repeated measurements of compressed air during a 2-week intercomparison campaign, the repeatability of the TREX–QCLAS was determined to be 0.19 and 1.9 ‰ for δ13C and δD-CH4, respectively. In this intercomparison campaign the new in situ technique is compared to isotope-ratio mass spectrometry (IRMS) based on glass flask and bag sampling and real time CH4 isotope analysis by two commercially available laser spectrometers. Both laser-based analyzers were limited to methane mole fraction and δ13C-CH4 analysis, and only one of them, a cavity ring down spectrometer, was capable to deliver meaningful data for the isotopic composition. After correcting for scale offsets, the average difference between TREX–QCLAS data and bag/flask sampling–IRMS values are within the extended WMO compatibility goals of 0.2 and 5 ‰ for δ13C- and δD-CH4, respectively. This also displays the potential to improve the interlaboratory compatibility based on the analysis of a reference air sample with accurately determined isotopic composition.