AUTORES

ERLON C. FINARDI

MAURO A. G. SIERRA

BRIGIDA UARTHE DECKER

ANDRÉ A. S. MILANEZI

ABR/2014

REVISTA: COMPUTATIONAL MANAGEMENT SCIENCE

EDIÇÃO: 12

PÁGINAS: 111-127

This paper presents a stochastic model for energy commercialisation strategies of small hydro plants (SHPs) in the Brazilian electricity market. The model aims to find the maximum expected revenue of the generation company, considering the main energy market regulations in Brazil, such as the penalty for insufficient energy certificates, the seasonality of energy certificates and the stochastic processes of future energy prices and plant generation. The problem is formulated as a multi-stage linear stochastic programming model, where the stochastic variables are the energy future prices, the system hydro generation and the SHP generation in the portfolio. Because of the large number of time steps in this model, methods with sampling strategies are necessary to identify a good solution. Therefore, we apply the Stochastic Dual Dynamic Programming algorithm. A case example is presented to analyse certain results of the model, which considers a generator company with a set of SHPs that can sell energy through contracts with periods of 6–24 months.