Title: Seasonal energy trading portfolio based on multiobjective optimisation

Authors: Fellipe Fernandes Goulart Dos Santos; Douglas Alexandre Gomes Vieira; Rodney Rezende Saldanha; Adriano Chaves Lisboa; Marcus Vinícius de Castro Lobato

Addresses: CEMIG – Companhia Energética de Minas Gerais, Av. Barbacena, 1200 – 15 A1, 30190-131, Belo Horizonte, MG, Brazil ' ENACOM Handcrafted Technologies, Rua Prof. José Vieira de Mendonça, 770, salas 406 e 407, 31310-260, Belo Horizonte, MG, Brazil ' Department of Electrical Engineering, UFMG – Federal University of Minas Gerais, Av. Antônio Carlos, 6627, Escola de Engenharia, 31270-901, Belo Horizonte, MG, Brazil ' ENACOM Handcrafted Technologies, Rua Prof. José Vieira de Mendonça, 770, salas 406 e 407, 31310-260, Belo Horizonte, MG, Brazil ' CEMIG – Companhia Energética de Minas Gerais, Av. Barbacena, 1200 – 15 A1, 30190-131, Belo Horizonte, MG, Brazil

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.

Keywords: multiobjective optimisation; ellipsoidal optimisation algorithm; seasonal allocation; optimal trading portfolios; Brazil; energy markets; risk assessment; revenue maximisation; risk minimisation; mathematical modelling; trading laws; simulation.

DOI: 10.1504/IJLSM.2014.059116

International Journal of Logistics Systems and Management, 2014 Vol.17 No.2, pp.180 - 199

Published online: 21 Jun 2014 *

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