Optimization and Risk Management of Power Supply Contract Portfolio

In recent decades,electric sector companies have experienced significant strategic changes in their organiza- tion and operation, driven by liberalization and deregulation. The traditional model where a single company has the generation, transmission and distribution monopoly, it hasbeen displaced by the model where just a single company can be in the business of generation, or transmission or distribution and within the energy market rules. In this context, the high competitiveness observed and the empirical approach traditionally used to minimize the cost was no longer sufficient to define optimal portfolio of energy contracts, where risk and market behavior could no longer be ignored and the need ofmore appropriate optimization methods in uncertain environments was increasing.

This work develops a contractmanagement model of power supply to define monthly contract values, in order to ensure the supply at a minimum cost for a given risk level. The investment portfolio theory proposed by Harry Markowitz was used as base, which suggests to evaluate the portfolios based on their risk and associated cost.

There are different restrictions that lead us to face the above as a multi-objective problem, where classical optimization methods are not sufficient to deal with the problem complexity. The goal is not to find an optimal portfolio, but form a set of several portfolios that have the best cost/risk ratio found. This will allow the agents by using this set of solutions, which is known as efficient frontier (Pareto Front), evaluate and choose the port- folio that best fits their priorities. Thus the portfolio cost will be minimized while the associated risk is being minimized for this reason themulti-objective evolutionary algorithm NSGA-II was implemented as it provides the flexibility to deal with this kind of scenario. As a study case was considered the Itaipu power supply to ANDE, with results that suggest the possibility of obtaining better results in terms of costs and risks.