Local flexibility market design for aggregators providing multiple flexibility services at distribution network level

This paper presents a general description of local flexibility markets as a market-based management mechanism for aggregators. The high penetration of distributed energy resources introduces new flexibility services like prosumer or community self-balancing, congestion management and time-of-use optimization. This work is focused on the flexibility framework to enable multiple participants to compete for selling or buying flexibility. In this framework, the aggregator acts as a local market operator and supervises flexibility transactions of the local energy community. Local market participation is voluntary. Potential flexibility stakeholders are the distribution system operator, the balance responsible party and end-users themselves. Flexibility is sold by means of loads, generators, storage units and electric vehicles. Finally, this paper presents needed interactions between all local market stakeholders, the corresponding inputs and outputs of local market operation algorithms from participants and a case study to highlight the application of the local flexibility market in three scenarios. The local market framework could postpone grid upgrades, reduce energy costs and increase distribution grids’ hosting capacity.Postprint (published version

Ramsey Rule with Progressive Utility in Long Term Yield Curves Modeling

The purpose of this paper relies on the study of long term yield curves modeling. Inspired by the economic litterature, it provides a financial interpretation of the Ramsey rule that links discount rate and marginal utility of aggregate optimal consumption. For such a long maturity modelization, the possibility of adjusting preferences to new economic information is crucial. Thus, after recalling some important properties on progressive utility, this paper first provides an extension of the notion of a consistent progressive utility to a consistent pair of progressive utilities of investment and consumption. An optimality condition is that the utility from the wealth satisfies a second order SPDE of HJB type involving the Fenchel-Legendre transform of the utility from consumption. This SPDE is solved in order to give a full characterization of this class of consistent progressive pair of utilities. An application of this results is to revisit the classical backward optimization problem in the light of progressive utility theory, emphasizing intertemporal-consistency issue. Then we study the dynamics of the marginal utility yield curve, and give example with backward and progressive power utilities

A Simulation Approach to Dynamic Portfolio Choice with an Application to Learning About Return Predictability

We present a simulation-based method for solving discrete-time portfolio choice problems involving non-standard preferences, a large number of assets with arbitrary return distribution, and, most importantly, a large number of state variables with potentially path-dependent or non-stationary dynamics. The method is flexible enough to accommodate intermediate consumption, portfolio constraints, parameter and model uncertainty, and learning. We first establish the properties of the method for the portfolio choice between a stock index and cash when the stock returns are either iid or predictable by the dividend yield. We then explore the problem of an investor who takes into account the predictability of returns but is uncertain about the parameters of the data generating process. The investor chooses the portfolio anticipating that future data realizations will contain useful information to learn about the true parameter values.

Extending Life Cycle Models of Optimal Portfolio Choice: Integrating Flexible Work, Endogenous Retirement, and Investment Decisions with Lifetime Payouts

This paper derives optimal life cycle portfolio asset allocations as well as annuity purchases trajectories for a consumer who can select her hours of work and also her retirement age. Using a realistically-calibrated model with stochastic mortality and uncertain labor income, we extend the investment universe to include not only stocks and bonds, but also survival-contingent payout annuities. We show that making labor supply endogenous raises older peoples’ equity share; substantially increases work effort by the young; and markedly enhances lifetime welfare. Also, introducing annuities leads to earlier retirement and higher participation by the elderly in financial markets. Finally, when we allow for an age-dependent leisure preference parameter, this fits well with observed evidence in that it generates lower work hours and smaller equity holdings at older ages as well as sensible retirement age patterns.

Connecting office buildings to the smart grid:harvesting flexibility

Traditionally, the electricity system is oriented top- down and buildings are just energy consumers. Since electricity is expensive to store, supply and demand have to be balanced at all times. In the nearby future, the electricity system must be able to cope with an increase in intermittent decentralized energy production. Also, ongoing electrification is expected to contribute to an increase in demand. Demand side management and control is needed to ensure reliability of supply at acceptable costs. Buildings can be a part of the solution as they can offer flexibility in energy consumption and/or production. By enabling flexible control of processes on the building premises, the building can provide balancing services and respond to congestion problems in the power system, while user comfort can be guaranteed. For the engineering company BAM Techniek, it is of importance to know how the integration of such smart grid technologies in buildings can contribute to (energy) service provision. This study focusses on the enabling of flexibility in energy consumption and generation, while comfort is guaranteed. The project aims to create a framework that enables flexible control of building processes, and analyses of the potential value of flexibility in office buildings. The proposed framework consists of a technical solution, and an analysis of the economical benefits. Priority based control is introduced to enable flexible control of building processes. The concept is capable of prioritizing the energy consumption of processes, and controlling the consumption depending on the needs of the electricity market. An empty office has for instance, a low priority to consume energy. User needs are integrated in the prioritization mechanisms. This mechanism ensures that processes stay within the allowed bandwidth, while providing flexibility to the power system. Since the priority based control connects the end user needs to the market needs, a bi-directional flow of information is required. The Eneco World Office is used to perform a building case study to test the technological framework. Three sources of flexibility are investigated: decentralized climate systems, electric vehicles, and a sensible heat buffer. Results show that the amount of available flexibility depends mainly on load profiles and comfort settings. Electric vehicles and the sensible heat buffer provide significant amounts of flexibility. The flexibility in decentralized climate systems is limited since the room air temperature responds relatively fast to changes in settings and comfort boundaries are quickly met. The long term effect of storage in the building inertia should however be investigated further. Economical benefits can be created by using the variation in costs on the wholesale market caused by market volatility. When flexibility is used to contribute to the balance in a portfolio of buildings, the imbalance can be reduced, which leads to a reduction in costs. Finally, flexibility can contribute to a reduction in peak demand of buildings, leading to cost savings in the network connection. The need for smart grids is growing, while energy services are becoming more important in the built environment. Considering the potential value of smart grid services in the built environment and the market size, it is evident that the developing smart grid market presents opportunities for BAM Techniek. The provision of flexibility services can be a valuable addition to the energy services portfolio

Managing Flexible Loads in Residential Areas

Load flexibility in households is a promising option for efficient and reliable operation of future power systems. Due to the distributed nature of residential demand, coordination mechanisms have to cope with a large number of flexible units. This thesis provides a model for demand response analysis and proposes different mechanisms for coordinating flexible loads. In particular, the potential to match intermittent output of renewable generators with electricity demand is investigated

A risk mitigation framework for construction / asset management of real estate and infrastructure projects

The increasing demand on residential, office, retail, and services buildings as well as hotels and recreation has been encouraging investors from both private and public sectors to develop new communities and cities to meet the mixed demand in one location. These projects are huge in size, include several diversified functions, and are usually implemented over many years. The real estate projects’ master schedules are usually initiated at an early stage of development. The decision to start investing in infrastructure systems, that can ultimately serve fully occupied community or city, is usually taken during the early development stage. This applies to all services such as water, electricity, sewage, telecom, natural gas, roads, urban landscape and cooling and heating. Following the feasibility phase and its generated implementation schedule, the construction of the infrastructure system starts together with a number of real estate projects of different portfolios (retail, residential, commercial,…etc.). The development of the remaining real estate projects continues parallel to customer occupancy of the completed projects. The occurrence of unforeseen risk events, post completing the construction of infrastructure system, may force decision makers to react by relaxing the implementation of the remaining unconstructed projects within their developed communities. This occurs through postponing the unconstructed project and keeping the original feasibility-based sequence of projects unchanged. Decision makers may also change the sequence of implementing their projects where they may prioritize either certain portfolio or location zone above the other, depending on changes in the market demand conditions. The change may adversely impact the original planned profit in the original feasibility. The profit may be generated from either real estate portfolios and/or their serving Infrastructure system. The negative impact may occur due to possible delayed occupancy of the completed real estate projects which in turn reduces the services demand. This finally results in underutilization of the early implemented Infrastructure system. This research aims at developing a dynamic decision support prototype system to quantify impacts of unforeseen risks on the profitability of real estate projects as well as its infrastructure system in the cases of changing projects’ implementation schedules. It is also aimed to support decision makers with scheduled portfolio mix that maximizes their Expected Gross Profit (EGP) of real estate projects and their infrastructure system. The provided schedules can be either based on location zone or portfolio type to meet certain marketing conditions or even to respect certain relations between neighbor projects’ implementation constraints. In order to achieve the research objectives, a Risk Impact Mitigation (RIM) decision support system is developed. RIM consists mainly of four models, Real Estate Scheduling Optimization Model RESOM, Sustainable Landscape Optimization Model SLOM, District Cooling Optimization Model DCOM and Water Simulation Optimization Model WSOM. Integrated with the three Infrastructure specialized models SLOM, DCOM, WSOM, RESOM provides EGP values for individual Infrastructure systems. The three infrastructure models provide the demand profile that relate to a RESOM generated implementation schedule. RESOM then uses these profiles for calculating the profits using the projects’ capital expenditure and financial expenses. The three models included in this research (SLOM, DCOM and WSOM) relate to the urban landscape, district cooling and water systems respectively. RIM is applied on a large scale real estate development in Egypt. The development was subjected to difficult political and financial circumstances that were not forecasted while preparing original feasibility studies. RIM is validated using a questionnaire process. The questionnaire is distributed to 31 experts of different academic and professional background. RIM’s models provided expected results for different real life cases tested by experts as part of the validation process. The validation process indicated that RIM’s results are consistent, in compliance with expected results and is extremely useful and novel in supporting real estate decision makers in mitigating risk impacts on their profits. The validation process also indicated promising benefits and potential need for developed commercial version for future application within the industry