| Article ID: | iaor2014394 |
| Volume: | 17 |
| Issue: | 2 |
| Start Page Number: | 180 |
| End Page Number: | 199 |
| Publication Date: | Feb 2014 |
| Journal: | International Journal of Logistics Systems and Management |
| Authors: | Santos Fellipe Fernandes Goulart Dos, Vieira Douglas Alexandre Gomes, Saldanha Rodney Rezende, Lisboa Adriano Chaves, Lobato Marcus Vincius de Castro |
| Keywords: | programming: multiple criteria |
This paper discusses and formulates a simplified model of the Brazilian energy market in order to define optimal trading portfolios. A bi‐objective optimisation problem in terms of revenue maximisation and risk minimisation is derived. A mathematical representation of the Brazilian trading laws is simulated under several scenarios to evaluate the objective and constraint functions. The resulting problem is sub differentiable and analytical, and, it can be solved by cutting‐plane methods. Scalarisation strategies and a pure multiobjective strategy based on the ellipsoidal optimisation algorithm are discussed and compared in this work. Some case studies are presented and they point out the superiority of the ellipsoidal algorithm to define optimal trading portfolios.