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Seasonal energy trading portfolio based on multiobjective optimisation
by Fellipe Fernandes Goulart Dos Santos; Douglas Alexandre Gomes Vieira; Rodney Rezende Saldanha; Adriano Chaves Lisboa; Marcus Vinícius de Castro Lobato
International Journal of Logistics Systems and Management (IJLSM), Vol. 17, No. 2, 2014
Abstract: This paper discusses and formulates a simplified model of the Brazilian energy market in order to define optimal trading portfolios. A bi-objective optimisation problem in terms of revenue maximisation and risk minimisation is derived. A mathematical representation of the Brazilian trading laws is simulated under several scenarios to evaluate the objective and constraint functions. The resulting problem is sub differentiable and analytical, and, it can be solved by cutting-plane methods. Scalarisation strategies and a pure multiobjective strategy based on the ellipsoidal optimisation algorithm are discussed and compared in this work. Some case studies are presented and they point out the superiority of the ellipsoidal algorithm to define optimal trading portfolios.
Online publication date: Wed, 05-Feb-2014
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