Forum 'Stages' - Sujet créé le 01/12/2023 par maxime_ogier (254 vues)

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Le 01/12/2023 par maxime_ogier :

Strategic Bidding in Price Coupled Regions: risk and uncertainty

Supervisors : Luce Brotcorne, Bernard Fortz, Bernardo Pagnoncelli

 

Location : INRIA Lille, INOCS Team

 

Description of the project

Liberalization of electricity markets and new technologies are having a strong influence on how to organize electricity production and transmission.

In this project, we consider the Bidding Problem (BP) of a GC (Generation Company) maximizing its profit in coupled day-ahead markets.  The production of the GC is considered high enough to impact the market prices. The model defined in (1) integrates a detailed Unit Commitment (UC) formulation of the production planning problem. 

 

The goal of this project consists in relaxing the assumption made in (1)  that the bids of the competitor are known in advance. More precisely, the first step is to propose stochastic models for bids of the competitors to capture different dependencies (spatial, economic, regional, etc).  Second, the randomness has to be incorporated into the optimization framework. In particular, a risk measure has to be added to the formulation to deal with the random parameters that were introduced. The choice will be guided by the need of a risk measure that captures risk aversion of the GC, while at the same time maintaining the structure of the problem so it can be efficiently solved for realistic instances.

 

The work can be divided into three parts:

• To completely understand the model defined in (1)
• Define a stochastic model for competitors’ bids. Define scenarios, implement and test the model in medium-size instances.
• Select a risk measure and introduce it into the model. Solve the model and test it on large size instances.

The work will be accompanied and supervised throughout the duration of the internship by Luce Brotcorne, Bernard Fortz and Bernardo Pagnoncelli.

 

The work would be submitted for presentation to a conference

 

Pre-requisites

    - Bac+5 

    - Knowledge in Linear programming, mixed-integer linear programming 

    - Computational experience in numerical optimization is a must.

    - While the focus of the work will be in decision making under uncertainty/stochastic programming, no prior knowledge is needed to work in this project. Familiarity with classical models such as two-stage and chance-constrained programming is a plus.

 

The internship will last 3 months to 6 months.

Location: INRIA Lille Nord Europe, INOCS Team https://team.inria.fr/inocs/

 

Application

In order to apply, please send to one of the contacts below your:

• Curriculum vitae
• Motivation letter (1-page maximum)
• Transcript of grades of the current year and of the M1
• Up to two letters of recommendation.

 

Contacts

    Luce Brotcorne, Luce.Brotcorne@inria.fr,  Directrice de Recherche INRIA, INOCS.

    Bernard Fortz, Bernard.Fortz@uliege.be, Professeur, Université de Liège, INOCS. 

    Bernardo Pagnoncelli, bernardo.pagnoncelli@skema.ed}, Associate Professor, SKEMA Business School, Lille.

 

 

(1)Jérôme De Boeck, Luce Brotcorne, and Bernard Fortz. Strategic bidding
in price coupled regions. Mathematical Methods of Operations Research,
95(3):365–407, 2022.