NDLI: Least-squares polynomial quasi-Monte Carlo for short-term generation unit asset valuation

Content Provider	IEEE Xplore Digital Library
Author	Sisworahardjo, N.
Copyright Year	2011
Description	Author affiliation: Department of Electrical Engineering, University of Tennessee at Chattanooga, U.S.A (Sisworahardjo, N.)
Abstract	This paper presents an effective and efficient financial-structural model for short-term generating unit asset valuation. A novel forward-moving quasi-Monte Carlo (QMC) simulation technique in conjunction with backward-moving dynamic programming is introduced. At any time, when commitment decision can be made, it is relied upon the present realization of electricity and fuel prices. The decision whether to turn the unit “on” or “off” is equivalent in term of expected profit, when the electricity and fuel prices are on the “locus” or known as indifference locus (IL). The identification of the ILs is a crucial step in unit asset valuation method. A least-squares polynomial based technique to approximate the continuous path of ILs was used to further improve the simulation speed without compromising its accuracy. The quasi-Monte Carlo coupled with least-squares polynomial for constructing ILs represent a new approach to solve unit asset valuation problem. Testing and model verification were performed. They indicate that the proposed technique is significantly faster while producing accurate results. It reduces the computational burden by more than 3,000 times while results are of a 0.13% error level.
Starting Page	1
Ending Page	6
File Size	774203
Page Count	6
File Format	PDF
ISBN	9781457707537
ISSN	21556830
e-ISBN	9781457707520
DOI	10.1109/ICEEI.2011.6021556
Language	English
Publisher	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Publisher Date	2011-07-17
Publisher Place	Indonesia
Access Restriction	Subscribed
Rights Holder	Institute of Electrical and Electronics Engineers, Inc. (IEEE)
Subject Keyword	Monte Carlo methods Accuracy Electricity Benchmark testing least-square polynomial quasi-Monte Carlo asset valuation indifference locus Polynomials Approximation methods Cost accounting
Content Type	Text
Resource Type	Article

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