Portfolio Optimization by PLEXOS

To achieve Portfolio Optimization, PLEXOS performs the Security Constrained Unit Commitment and Economic Dispatch using Mixed Integer Programming (MIP) to minimize a cost function subject to all operational constraints. The PLEXOS MIP returns simultaneous optimal solutions i.e., co-optimization, to unit commitment, economic dispatch, contract exercise, and market activates.

In addition, PLEXOS LT-PLAN – Long-term Capacity Expansion determines optimal investment decisions over a long period of time, usually up to 30 years, to minimize the Net Present Value of forward-looking investment costs and the portfolio production cost.

PLEXOS also has the capability to run Stochastic Simulations to incorporate risk. In the portfolio optimization, risk is an important consideration in the corporate decision-making process. PLEXOS performs stochastic simulations for a given set of the stochastic drivers, such as fuel prices, load forecast, renewable generation profiles, market prices, etc. The solutions are the distribution of the system operation parameters.

This white paper is sponsored by Energy Exemplar.

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