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Title: Contract Selection Problem in Singapore Electricity Market
Keywords: electricity market, fuel oil price forecasting, portfolio theory, mean-CVaR
Issue Date: 12-Aug-2011
Citation: CHEN LIQIN (2011-08-12). Contract Selection Problem in Singapore Electricity Market. ScholarBank@NUS Repository.
Abstract: Deregulation of Singapore electricity market has benefitted electricity consumers in many aspects. In addition to lower electricity prices, consumers are entitled to select from various types of electricity contracts offered by energy suppliers, which may have different risk characteristics. This thesis investigates the optimal decision-making among these contracts for consumers in Singapore electricity market, with the objective to minimize total electricity costs taking into account the potential risks consumers are exposed to. A preliminary study is firstly conducted to investigate the risk characteristics of available contracts, employing Mean-Variance framework from Modern Portfolio Theory. Through numerical experiments, the impacts of different input parameters are investigated. To extend the previous single-period model to multi-period cases, a stochastic programming model is proposed, employing Conditional Value-at-Risk as the risk measure of electricity costs. Scenario generation and reduction techniques are employed to resolve the stochasticity of fuel oil prices and other uncertainties, through which the stochastic programming model can then be approximated by a deterministic linear programming model and solved. Based on the proposed multi-period integer programming model, a practical tool operating in spreadsheet is developed to aid the decision making process. This tool can provide optimal solutions to the deterministic programming model based on forecasted oil prices or under given scenarios, thus it can serve as a useful reference for consumers with subjective perspectives of oil price trends.
Appears in Collections:Master's Theses (Open)

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