The Transactions of The Korean Institute of Electrical Engineers (전기학회논문지)

The Korean Institute of Electrical Engineers (대한전기학회)
권호 표지
DOI QR코드

DOI QR Code

Economic Assessment of a Wind Farm Project Using Least Square Monte-Carlo (LSMC) Simulation

최소자승몬테카를로 시뮬레이션을 이용한 풍력발전설비 투자계획

  • 김진아 (고려대 전기전자전파공학과) ;
  • 이종욱 (고려대 전기전자전파공학과) ;
  • 이재희 (고려대 전기전자전파공학과) ;
  • 주성관 (고려대 전기전자전파공학과)
  • Received : 2010.06.11
  • Accepted : 2010.11.18
  • Published : 2011.01.01
Download PDF
⟨ Previous Next ⟩

Abstract

The economic value of a wind farm project is influenced by various risk factors such as wind power output and electricity market price. In particular, there is uncertainty in the economic evaluation of a wind farm project due to uncertain wind power outputs, which are fluctuated by weather factors such as wind speed, and volatile electricity market prices. This paper presents a systematic method to assess the economic value and payback period of a wind farm project using Least Square Monte-Carlo (LSMC) simulation. Numerical example is presented to validate the effectiveness of the proposed economic assessment method for a wind farm project.

Keywords

References

  1. 조용권, "풍력발전의 부상과 시사점", SERI 경제포커스, 제155호, 2007년.
  2. H. Zhou and Y. Hou, "Analytical Assessment of Wind Power Generation Asset in Restructured Electricity Industry", UPEC, pp.1086-1092, 2007.
  3. A. Botterud, "Long-Term Planning in Restructured Power Systems", NTNU, pp.49-110.
  4. A. Siddiqui, C. Marnay, "Distributed Generation Investment by a Microgrid Under Uncertainty", U.S. Department of Energy, 2006.
  5. 하정우, 김수덕, "대관령 풍력단지의 풍력발전량 및 경제성 분석", 에너지공학, 제 14권, 제 2호, pp.123-132, 2005년.
  6. H. Salazar and C. C. Liu, "Decision Analysis of Merchant Transmission Investment by Perpetual Options Theory", IEEE Trans. On Power sys. Vol.22, No.3, pp.1194-1201, Aug. 2007.
  7. Kumbaroglu, R. Madlener, and M. Demirel, "A Real Options Evaluation Model for the Diffusion Prospects of New Renewable Power Generation Technologies", Energy Economics, Vol.30, pp.1882-1908, 2008. https://doi.org/10.1016/j.eneco.2006.10.009
  8. M. Mendez, "Real Options Valuations of a Wind Farm", Univ. Autonoma de Madrid, Feb. 2009.
  9. A. Rodrigues and M. Armada, "The valuation of real options with the least squares monte carlo simulation method", SSRN, Feb. 2006.
  10. 김진아, 이재희, 주성관, "최소자승 몬테카를로 시뮬레이션 기법을 이용한 풍력발전설비 투자결정", 대한전기학회 추계학술대회, 2009.
  11. 지식경제부, "신재생에너지이용 발전전력의 기준가격 지침", 제 2009-297호, 2009년.
  12. 이준행, 이종식, "엑셀/VBA를 이용한 금융공학", 경문사, pp.211-215, 2006년.
  13. 이경수 외 2명, "파생상품 Modeling I: MATLAB 활용", 아진, pp.110-118, 2008년.
  14. F. A. Lngstaff and E. S. Schwartz, "Valuing American Options by Simulation: A Simple Least-Squares Approach", Review of Financial Studies, Vol. 14, No.1, pp.113-147, 2001. https://doi.org/10.1093/rfs/14.1.113