Bruno Fanzeres

Pontifícia Universidade Católica do Rio de Janeiro · Department of Industrial Engineering (IND)

Modeling decisions under uncertainty depend on understanding the available decisions and the uncertainty to be addressed. The present work models the problem of coverage and allocation of resources as a two-phase decision process with uncertainty of the place and time of occurrence. Using Crime data in Chicago and applying the FLEET-ICt [de Oliveir...

Pipe-laying Support Vessels (PLSV) perform subsea interconnection tasks, which is the last step necessary for the well to produce oil. To perform this activity, it is necessary to load several materials. These loadings can be done in different berths, and their duration is considered an uncertainty in their schedule. To assist in the operational pl...

A reliable transition to low-carbon electricity production systems has been desired by many countries worldwide. A key component in achieving this goal is the decrease of GHG-emitting sources, e.g. coal-based, by replacing them with renewable generators. However, the latter energy source is challenging to operate due to its intrinsic variability. T...

Bitcoin operates in a Blockchain network under which a group of participants are responsible for adding new blocks to the chain. The participants are called miners and the ones who successfully add a block to the network are rewarded. As technology evolves over the years, the “mining” process has become more challenging, with miners facing longer p...

Supply contracts play an important role in competitive electricity markets. They help ensure supply adequacy and hedge against market power, among other benefits. However, when variable renewable energy is involved, the mixture of uncertainty in energy production with a high volatile spot market poses a risk difficult to manage. Within this context...

The design of cost-effective power line routes is a critical step towards elaborating a consistent network expansion plan. Although several attributes are considered by planning agents, the impact of sharp curvatures is typically neglected within the route design process, thus not accounting for the need for more expensive structures to support the...

In this article, we study the Adjacent Quadratic Shortest Path Problem (AQSPP), which consists in finding the shortest path on a directed graph when its total weight component also includes the impact of consecutive arcs. We provide a formal description of the AQSPP and propose an extension of Dijkstra's algorithm (that we denote aqD) for solving A...

This paper proposes a stochastic risk-averse bilevel model to analyse market power in short-term electricity markets, with relevance for Brazilian policy discussions on introducing a bid-based pricing system. A strategic generator company can influence market prices by its quantity and price bids. In this Stackelberg game, the strategic company (le...

Approximation and Decomposition Techniques for Stochastic Energy and Reserve Scheduling: Algorithmic Efficiency and Pricing

Oil and gas companies are exposed to several sources of uncertainty in their operations. Buying insurance is a common practice for self-protection from possible high losses. To acquire an adequate insurance policy, the firm needs to estimate its risk exposure and define the right contract parameters. However, estimating losses is still a hard task....

The Bitcoin operates in a Blockchain network under which a group of participants are responsible for adding new blocks into the chain. These participants are called miners and the ones that successfully add a block into the network receive a reward for their work. As the technology evolved over the years, this "mining" process has become more chall...

Short-Term Electricity Market Design Under Uncertainty of Renewable Production: A Novel Distributed, Hybrid Nodal/ Zonal Pricing Model

The upstream sector of the Oil and Gas (O&G) industry is recognized by its capital-intensive projects and complex and hazardous associated recovery and production processes, thus susceptible for large and financially damaging accidents. In this context, to avoid the risk and impact of high expenses, O&G companies usually acquire insurance contracts...

Equilibrium analysis is crucial in electricity market designs, with Nash equilibrium recognized as the most powerful one. Its most prominent hindrance, however, is an efficient methodology to compute an equilibrium point in large-scale systems. In this work, a Column-and-Constraint Generation (CCG) algorithm is proposed to tackle this challenge. Mo...

The power budget of an optical fiber link is a crucial aspect of its design and the correct placement of amplifiers along the fiber link can simultaneously decrease costs and ensure good signal quality at the end node. Unfortunately, the communication channel can impart losses to the optical signal due to the corruption of the optical fiber, which...

Equilibrium analysis is crucial in electricity market designs, with Nash equilibrium recognized as the most powerful one. Its most prominent hindrance, however, is an efficient methodology to compute an equilibrium point in large-scale systems. In this work, a Column-and-Constraint Generation (CCG) algorithm is proposed to tackle this challenge. Mo...

Mining Bitcoins is an uncertain activity. By nature of the process, participants take part in the Proof of Work process, where they try to decrypt the hash that the new block added to the Blockchain contains. One may spend months, or even years, without positive cash flows, while still having associated costs. This can often drive participants away...

One of the main characteristics of the Brazilian Electrical System is the high penetration of renewable energy, mainly hydroelectric power, and especially the expansion of solar and wind power sources. However, these last two sources have as peculiarities the inherent variability and unpredictability in electricity production. To cope with this iss...

An efficient and effective performance in budget-constrained management has become critical in public agencies in Brazil, especially due to the current economic situation of the country. In this sense, the Armed Forces have sought tools to assist them in decision making and in efficiently allocate of such resources. The objective of the present stu...

In this paper, we propose an alternative methodology for devising revenue-maximizing strategic bids under uncertainty in the competitors’ bidding strategy. We focus on markets endowed with a sealed-bid uniform-price auction with multiple divisible products. On recognizing that the bids of competitors may deviate from equilibrium and are of difficul...

In this paper, a novel technique for optical fiber monitoring that introduces the least absolute shrinkage and selection operator (Lasso) as a signal processing technique within the baseband subcarrier sweep (BSS) framework, called the BSS-Lasso, is proposed. The methodology is tested in simulated and real-world environments, taking into account bo...

Oil and gas companies are exposed to several sources of uncertainty in their operations. Buying insurance is a common practice for self-protection from possible high losses. To acquire an adequate insurance policy, the firm needs to estimate its risk exposure and define the right contract parameters. However, estimating losses is still a hard task....

This paper presents a novel methodology to devise a least-cost energy and reserve scheduling under uncertainty in renewable energy sources (RES) and equipment outages. The uncertainty in renewable production is accounted for by exogenously simulated scenarios, as customary in stochastic programming, whereas outages of generators and/or transmission...

Manipulation of the detected backscattered Rayleigh signal inside the bandwidth of a frequency-swept optical sub-carrier propagating into an optical fiber permits an efficient localization of faults through a Fourier operator. When the bandwidth is restricted, analysis in the frequency domain can overcome the spatial resolution limitation while als...

We present a monitoring technique that can be directly integrated in the SCM transceiver for PtP and WDM/SCMPON applications. The technique is based on the detection of the backscattered signal from a base band tone (100 Hz to 100 kHz) and interpretation with the LASSO operator, a signal processing technique which identifies the fault positions bas...

We present a monitoring technique that can be directly integrated in the transceiver for WDM/SCM-PON applications. It is based on the detection of the backscattered signal from a baseband tone and interpretation with the LASSO operator for multiple fault detection.

Considerando que no Brasil os grandes consumidores de energia elétrica podem contratar energia no Ambiente de Contratação Regulado (ACR) ou no Ambiente de Contratação Livre (ACL), o desafio destes consumidores é definir qual o melhor ambiente de contratação e qual a melhor estratégia de contratação em cada ambiente. Assim, o resultado final deste t...

O crescimento da indústria eólica na última década vem gerando novos desafios para o setor elétrico. Entre eles, destacamos a estimação de garantias físicas e simulação de longo prazo para análises de investimento. Como a maioria dos parques brasileiros é recente, existe uma falta de históricos extensos. Devido à importância de possuir séries de lo...

We present a new methodology to support an energy trading company (ETC) to devise contracting strategies under an optimal risk-averse renewable portfolio. The uncertainty in the generation of renewable energy sources is accounted for by exogenously simulated scenarios, as is customary in stochastic programming. However, we recognize that spot price...

Energy spot price is characterized by its high volatility and difficult prediction, representing a major risk for energy companies, especially those that rely on renewable generation. The typical approach employed by such companies to address their mid-and long-term optimal contracting strategy is to simulate a large set of paths for the uncertaint...

The joint investment in renewable sources can be seen as an efficient mechanism for mitigating the risk of genera-tion investors. This article presents an innovative framework to calculate the premium of the option to invest in complementary renewable energy projects. To calculate this option value, the framework merges two models: the first is a h...

A energia eólica vem se firmando de maneira concreta no Brasil. Incentivos foram dados a esta fonte nos leilões do ACR. Contudo, o modelo de planejamento e simulação da operação vigente no Brasil desconsidera a incerteza na geração das fontes alternativas renováveis. Em aplicações, como a comercialização de energia proveniente dessas fontes, uma me...

Este trabalho tem os seguintes objetivos: (i) apresentar uma proposta de Mecanismo de Realocação de Excedentes financeiros para fontes Renováveis (MRE-Renovável) que reduza o risco de preço e quantidade de geradores com produção intermitente na liquidação da Câmara de Comercialização de Energia Elétrica (CCEE) e (ii) apresentar uma metodologia comp...

Wind power generation plays an important role in most power systems worldwide. Despite that, only in 2009, wind farms appeared as a profitable and competitive investment option in Brazil. The Brazilian power system is mainly hydro based and, due to its many singularities, its coordination is still centralized. A collateral effect of such centralize...

Geração de energia elétrica a partir dos ventos é uma das mais importantes fontes de energia renovável no mundo. Desde a década de 1990 que as fontes de energia eólica são de extrema importância para o sistema elétrico de diversos países do globo. Contudo, somente após a instituição de incentivos às fontes renováveis na metade dos anos 2000, como o...

O objetivo deste trabalho é desenvolver uma nova metodologia de construção da Curva de Disposição a Contratar de um gerador hidrelétrico (ou outro com geração estocástica, Eólicas), utilizando uma técnica de robustez às variações do PLD. O modelo utiliza uma abordagem híbrida entre otimização estocástica e otimização robusta em que a produção dos g...