GA Optimization Technique for Portfolio Optimization of Electricity Market Participation

• Autor(a) principal: Faia, Ricardo
• Data de Publicação: 2016
• Outros Autores: Pinto, Tiago, Vale, Zita
• Tipo de documento: Artigo
• Idioma: eng
• Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
• Texto Completo: http://hdl.handle.net/10400.22/10002
• topic: Artificial intelligence; Electricity Markets; Genetic Algorithm; Portfolio Optimization

This paper presents a methodology based on genetic Algorithms (GA) to solve the problem of optimal participation in multiple electricity markets. With the emergence of new requirements for electrical power markets, it has become fundamental to develop tools to aid in decision making, understanding the functioning of markets and forecast iterations that occur between the different entities in the market. Artificial intelligence plays a crucial role in the development of these tools. Using artificial intelligence techniques, it is possible to simulate the different existing players in the market, to enable these players to be adaptive to any situation, and to model any type of trading. Artificial intelligence based metaheuristic optimization tools allow solving problems in a short time, and with very close results to those that deterministic techniques are able to achieve, at the cost of a high execution time. The achieved results, using a simulation scenario based on real data from the Iberian electricity market, show that the proposed method is able to reach better results than previous implementations of a Particle Swarm Optimization (PSO) and a Simulated Annealing (SA) methods, while achieving very similar objective function results to those of a deterministic approach, in a much faster execution time.