March 13, 2018
Risk trading in capacity expansion models
Gauthier De Maere, ENGIE
The talk presents a set of power investment models, the class of risky capacity equilibrium problems, reflecting different assumptions of perfect and imperfect markets. The models are structured in a unified stochastic Nash game framework. Each model is the concatenation of a model of the short-term market operations (perfect competition or Cournot), with a long-term model of investment behavior (risk neutral and risk averse behavior under different assumptions of risk trading).
The models can all be formulated as complementarity problems, some of them having an optimization equivalent. It finally shows how the methodology can be applied to design appropriate contract to support investment.