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Transcript of System Analysis Advisory Committee Futures, Monte Carlo Simulation, and CB Assumption Cells Michael...
System AnalysisAdvisory Committee
Futures, Monte Carlo Simulation,and CB “Assumption Cells”
Michael SchilmoellerTuesday, September 27, 2011
2
Overview
–Uncertainties–Their representation–Cells in the RPM
3
Uncertainties• Aluminum Prices• Carbon Penalty• Commercial
Availability• Conservation
Performance• Construction Costs• Electricity Price
• Hydrogeneration• Natural Gas Price• Non-DSI Loads• Production Tax Credit
Life• REC Values• Stochastic FOR
4
The Navigator
–Permits a user to find plants, cost and energy calculations, imbalance estimates, and so forth easily in the RPM
–Uses hyperlinks and windows
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Aluminum Prices– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
6
Aluminum Prices
t
tt
t
ttttttt
p
b
a
dt
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ofdeviation standard theis
level mequilibriu theis
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processes discretefor 1 valuehas which size, step theis
process N(0,1) a fromdrawn a is
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80 random variables, one for each period, to generate geometric Brownian motion in aluminum prices
5th Plan, Appn P, page P-83 ff
7
Aluminum Prices
Fifth Power Plan price assumption
Sixth Power Plan price assumption (oops)
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Carbon Penalty– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
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Carbon Penalty
2 random variables, determining the timing and size of penalty arrival
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Carbon Penalty
0
20
40
60
80
100
120
Sep
-09
Sep
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Sep
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Sep
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Sep
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Sep
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Sep
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Sep
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Sep
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Sep
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Sep
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Sep
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Sep
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Sep
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Sep
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$200
6/U
S t
on
CO
2
100%
90%
80%
70%
60%
50%
40%
30%
20%
10%
0%
mean
Source: workbook "New CO2 Distribution 090425.xls", chart "Carbon Distribution"
5th Plan, Appn P, page P-133 ff6th Plan, Appn J, page J-4 ff
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Commercial Availability– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
12
Commercial Availability
6th Plan, Appn J, page J-14, J-15
1 random variable, determining the delay (periods) after construction could begin, absent availability constraints
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Conservation Performance– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
14
14
Technical Feasibility of Lost Opportunity Conservation
Supply Curves
0
50
100
150
200
250
0 50 100 150 200 250
Lost Opportunity (Q)
real
leve
lized
$/M
Wh
(P
)
2010
2015
2020
source: Q:\MS\Council Presentations and Communication\100511 P4 Portland\graphics\supply curves for illustration.xls
15
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Effect on the Supply Curve
Supply curves
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Conservation Performance
6th Plan, Appn J, page J-5;Power Committee Meeting, Tuesday May 11, 2010
1 random variable, determining the scaled shift of all the supply curves in the future
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Construction Costs– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
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Construction Costs
6th Plan, Chap 9, page 9-14 ff;
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Construction Costs
6th Plan, Chap 9, page 9-14 ff;
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Construction Costs
6th Plan, Appn J, page J-11 ff;Generation Resource Advisory Committee, December 18, 2008 and January 22, 2009
1 random variable, determining the scaled shift of all the supply curves in the future
Complex cost futures are pre-computed , stored in binary form in the workbook, and drawn according to this “seed” value
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Electricity Prices– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
22
Electricity Prices
6th Plan, Chap 9, page 9-11 ff
23
Casual Regimes
5th Plan, Appn P, page P-65 ff
• Short-term (hourly to monthly)– Positive correlation of electricity price with loads– Hourly correlations to hydro, natural gas price– Quarterly averages correlations to all three
• Long-term (quarterly to yearly)– Negative correlation of electricity price with loads– Supply and demand excursions– Changing technology, regulation
24
Electricity Prices Before Adjustments
5th Plan, Appn P, page P-65 ff
Adjustments for longer-term response include• Hydro year selection• Quarterly loads• Gas price effects• Energy balance (supply vs. demand) effects
The model generates an “independent” electricity price future devoid of these effects; adjustments for these effects are made deterministically during the chronological simulation
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“Independent” Electricity Price
8 random variables, determining the underlying scenario path of electricity price and the nature of up to two excursions
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Jumps in Electricity Price
5th Plan, Appn P, page P-65 ff
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Underlying “Path” of Electricity Price
5th Plan, Appn P, pages P-25 ff and P-65 ff
The underlying path consists of the original benchmark forecast and the combined effects of a random offset and a random change in slope
A more complete description will be provided with the description of natural gas prices
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Hydrogeneration– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
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Hydrogeneration• Monthly energies, east and west of the
cascades, are provided by the HYDREG model and are consistent with GENESYS
• Sustained peaking estimates based on these energies enable us to allocate hydrogeneration energy on and off peak
• Hydro years are selected at random from among the 70 years of hydrogeneration available
30
Hydrogeneration
20 random variables determine the hydro year
5th Plan, Appn P, pages P-55 ff
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Natural Gas Price– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
32
Natural Gas Price
6th Plan, Chap 9, page 9-13 ff
33
Natural Gas Price
47 random variables: three factor multipliers, two for each of two possible jumps, and 40 seasonal specific variances (fall and spring)
34
NGP: Factor Multipliers
5th Plan, Appn P, pages P-26 ff
35
NGP: Factor Multipliers
y = 0.0003x2 + 0.0007x - 0.0019
-0.02
0.00
0.02
0.04
0.06
0.08
0.10
0.12
1 3 5 7 9 11 13 15 17
Quadratic Component
Quadratic Component
Poly. (Quadratic Component)
5th Plan, Appn P, pages P-49 ff
36
NGP: Specific Variances
5th Plan, Appn P, pages P-55 ff
37
Jumps
5th Plan, Appn P, pages P-33 ff
Note: this example is for electricity price
38
NGP: Jumps
5th Plan, Appn P, pages P-49 ff
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NGP: Distributions
5th Plan, Appn P, pages P-49 ff
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Non-DSI Frozen Efficiency Load– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
41
Non-DSI Frozen Efficiency Load
6th Plan, Chap 9, page 9-13
42
Non-DSI Frozen Efficiency Load
46 random variables: three factor multipliers, three for a possible jump, and 40 seasonal specific variances (summer and winter)
Note: our “weather corrected” load does not include the specific variance terms
43
Non-DSI Frozen Efficiency Load
5th Plan, Appn P, pages P-37 ff
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Production Tax Credit Life– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
45
Production Tax Credit Life
1 random variable, representing the likely life of tax credits, assuming no carbon penalty and assuming the purpose of the credit is primarily to make the technology commercially competitive
46
Production Tax Credit Life
5th Plan, Appn P, pages P-90 ff
47
Production Tax Credit Value
5th Plan, Appn P, pages P-90 ff
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Renewable Energy Credit Value– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
49
Renewable Energy Credit Value
80 random variables, one for each period, to generate geometric Brownian motion in aluminum prices
5th Plan, Appn P, pages P-95 ff, but modified for the 6th Plan (see Chap 9, page 9-19)
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Stochastic Unit Forced Outages– Aluminum Prices– Carbon Penalty– Commercial Availability– Conservation Performance– Construction Costs– Electricity Price– Hydrogeneration– Natural Gas Price– Non-DSI Loads– Production Tax Credit Life– REC Values– Stochastic FOR
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Stochastic Unit Forced Outages
1 random variable, representing “seed” value for an endogenous calculation of beta and gamma-distributed random variables
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Stochastic Unit Forced Outages
In the RPM, real estate is expensive and used intensively. A single row of energy data will represent multiple units added over distinct points in time, each with its own construction cycle modeled.
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Stochastic Unit Forced OutagesGetting the forced outage calculation right, where each cohort can consist of multiple units, and units are added over time, is solved by making the calculation internally.
6th Plan, Appn J, page J-15 ff
54
Summary
1 Aluminum Prices 802 Carbon Penalty 23 Commercial Availability 14 Conservation Performance 15 Construction Costs 16 Electricity Price 87 Hydrogeneration 208 Natural Gas Price 479 Non-DSI Loads 46
10 Production Tax Credit Life 111 REC Values 8012 Stochastic FOR 1
288
55
Concluding Remarks
• The values for the 288 random variables are drawn at the beginning of each game, or “future”
• All aspects of the future are calculated in the model before the chronological simulation of the resource portfolio’s performance
• Where decisions are necessary during the chronological simulation, the model references only “past” values of the given future
• You can use the Navigator feature in the RPM to explore these on your own