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With increasing amounts of power generation from intermittent sources like wind and solar, capacity planning has not only to account for the expected load variations but also for the stochastics of volatile power feed-in. Moreover investments in power generation are no longer centrally planned in deregulated power markets but rather decided on competitive grounds by individual power companies. This...
In recent years, climate protection has played a growing if not even dominating role in the European energy policy and beyond. In this context, carbon capture and storage (CCS) is discussed as one possible approach to decrease CO2 emissions. Within this article an approach is presented which allows assessing the relevance of CCS, taking into account alternative abatement measures as well as transportation...
Simulating the random changes of power prices is a crucial task for operational and trading decisions. Currently, models stemming from econometrics and financial mathematics represent the dominating approach to the stochastic simulation of electricity prices. This work proposes a novel methodology based on frequency-domain techniques for simulating the random fluctuations of hourly electricity prices...
In this paper the costs of integrating fluctuating sources like wind or solar into an existing electricity system are quantified using a systematic, theoretically well-founded approach. The paper notably stresses that this requires to measure integration costs against some reference technology and it highlights the link between integration costs and changes in system costs. The costs related to wind...
In most electricity markets, a key restriction for portfolio optimization is the limited liquidity. Hence, standard models for decision problems have to be adapted to cope with this situation. This paper shows an approach dealing with this situation by including a liquidity function into the standard mean- variance model going back to Markowitz. This leads to a quadratic optimization problem which...
A large share of integrated wind power causes technical and financial impacts on the operation of the existing electricity system due to the fluctuating behaviour and unpredictability of wind power. The presented stochastic electricity market model optimises the unit commitment considering four kinds of electricity markets (e.g. a spot and balancing market) and taking into account the stochastic behaviour...
In this paper a stochastic fundamental electricity market model is presented. The model's principle is cost minimization by determining the marginal system costs mainly as a function of available generation and transmission capacities, primary energy prices, plant characteristics and electricity demand. To obtain appropriate estimates of the marginal value of wind in an adapting system notably reduced...
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