Abstract
This work focuses on the best financial resources allocation to define a wind power plant portfolio, considering a set of feasible sites. To accomplish the problem formulation and solution, the first step was to establish a long-term wind series reconstruction methodology for generating scenarios of wind energy, applying it to study five different locations of the Brazilian territory. Secondly, a risk-averse stochastic optimization model was implemented and used to define the optimal wind power plant selection that maximizes the portfolio financial results, considering an investment budget constraint. In a sequence, a case study was developed to illustrate a practical situation of applying the methodology to the portfolio selection problem, considering five wind power plants options. The case study was supported by the proposed optimization model, using the scenarios of generation created by the reconstruction methodology. The obtained results show the model performance in terms of defining the best financial resources allocation considering the effect of the complementarity between sites, making it feasible to select the optimal set of wind power plants, characterizing a wind plant optimal portfolio that takes into account the budget constraint. The adopted methodology makes it possible to realize that the diversification of the portfolio depends on the investor risk aversion. Although applied to the Brazilian case, this model can be customized to solve a similar problem worldwide.
Highlights
The renewable capacity expansion around the World has increased over the past years
The obtained results show the model performance in terms of defining the best financial resources allocation considering the effect of the complementarity between sites, making it feasible to select the optimal set of wind power plants, characterizing a wind plant optimal portfolio that takes into account the budget constraint
The selection of portfolios composed purely by wind power plants (WPP) can be understood as the solution of a problem characterized by to find the optimal allocation of the available financial resources for investment in one or more plants, in such a way to get financial results higher than those that could be obtained by fully allocating resources in a single wind project
Summary
The renewable capacity expansion around the World has increased over the past years. In 2019, the additions have taken the renewable share of all global power capacity to 34.7% [1]. The growth is justified by the countries’ attempt to transform their electricity matrix cleaner, changing from fossil fuel plants to renewable sources, and by the lower technological renewable costs when compared to years before. Despite the benefits of cleaner and low cost energy, the renewable generation brings important issues to system operation due to its natural intermittency and seasonality characteristics [3]. The studies [4] [5] show that high renewable sources penetration on the power system requires the implementation of system flexibility mechanisms such as controlled units, ancillary services, market design changes and storage services
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