Invited speakers

Title: One step towards a high-dimensional probabilistic investment model in electricity generation We present an investment model in electricity generation that takes into ac-count electricity demand, cointegrated fuel prices, carbon price and random outages of power plants. It computes the optimal level of investment in each generation technology, considered as a whole, w.r.t. the electricity spot price. This electricity price is itself built according to a simplified structural model. In particular, it is a function of the random processes as well as the installed capacities. An efficient probabilistic numerical algorithm combining dynamic programming, Monte Carlo simulations and local basis regressions is used to solve the problem formulated as a nonstationary optimal multiple switching problems in infinite horizon. The evolution of the optimal generation mix is illustrated on a realistic numerical problem in dimension 8, i.e. with 2 different technologies and 6 random processes. This talk is based on a joint work wit