Application of Monte Carlo simulation in a study of viability of a renewable energy project. Manuel Carmona

Transcription

1 Application of Monte Carlo simulation in a study of viability of a renewable energy project. Manuel Carmona

2 Palisade Corporation Manuel Carmona, sales manager for Southern Europe, London and Scandinavia. Palisade are leaders since 1984 in desktop, risk and decision support software applications, with nearly 200,000 users worldwide! Nearly 30 years as providers of general purpose quantitative decision-making tools and services. Leading distributor of analytical software and books. Headquartered in Ithaca, New York, with offices in London, Sydney, Sao Paulo and Tokyo. Palisade products are taught in more than 150 MBA programs worldwide and are used by the majority of Fortune 500 companies. To access interesting content about risk analysis visit our website:

3 Agenda Introduction Palisade Corporation Who are our customers We need to value the risk of a renewable energy project. There are some uncertainties we need to analyze before entering into contracts.

4 Famous projects Project Cost overrun (# times ) Suez canal 20 Sydney opera 15 Concorde 12 4

5 Getting Answers with Probabilistic Modeling Probabilistic modeling can answer questions such as: Which project has the highest chance of success and should receive the funding? What is the likelihood that my project will be completed on time and on budget? What are our chances to still make a deadline? How realistic are the contingencies for our cost estimate? What is the effect of a given mitigation policy on my project? How likely are my costs to overrun? Which tasks are likely to make my total cost to overrrun? Where does it make more sense to mitigate?

6 Renewable energy project» To reduce manufacturing costs, we need to estimate output of a renewable energy plant. We need an installation that consistently delivers an output of at least 8MW.

7 Renewable energy project» Solar power uncertainties Output depends on cloud coverage. Works only 12 h /day. Temperature of panels also has an impact on output.» Wind power uncertainties Output depends on a given wind speed range Location or wind generators

8 Building a risk model:traditional Approach vs. Monte Carlo Simulation Single point estimates (usually mean values) Best case / worst case scenario s Incremental what if analyses With traditional (deterministic) approaches, you lack the ability to know the full range of possible outcomes and their likelihood of occurrence!

9 Monte Carlo Simulation We use probability distributions to drive the collection of random number samples. Thousands of possible scenarios and their likelihood of occurence are calculated in a few seconds. We will obtain advanced analyses and features such as tornado charts, scatter plots, input to output sensitivities, effect of correlation, stress analyses, scenario analysis etc.

10 We need to infer distributions: Monte Carlo Simulation From data or observations. From expert knowledge. Distributions should reflect as much as possible the variables to be measured, but a good approximation is usually good enough. Models should be algorithmically robust, and as simple as possible, but no simpler. Simulation is one more tool in the risk/project manager toolbox.

11

12

13

14

15

16

17 Benefits of Monte Carlo Risk Analysis model» We can simulate output with a certain degree of accuracy» We can optimize the cost of the installation against expected average output, and other variables such as electricity prices.» We can calculate probabilistic expected revenues of selling excess power to the grid.

18 Palisade DecisionTools Suite 6.0 Monte Carlo Simulation for Excel and MsProject Simulation &Optimization with Genetic Algorithms Decision Tree Analysis Statistical, Neural Network & Data mining packages

19 Palisade Customers Unilever Shell ExxonMobil Statoil Fluor Norsk Hydro Produksjon Infineon Petro Canada Siemens Wind Power AS Conoco Chevron Network Rail UK Grosvenor BP Conoco Phillips Norway Marathon Oil Areva Worley Parsons EON Lundin Norway AS Endesa DNV Norway Enbridge ENI Transcanada DONG Bovis Lend Lease Telenor ASA Norway Siemens Schlumberger EDF Saudi Aramco Centrica Energy Norway El Paso Energy Halliburton Technip Enmax Aker Kvaerner

20 Questions?