Our research uses mathematical modelling, optimization and statistical tools to comprehend modern electricity markets such as the NZEM, and to analyze and develop methods for efficient generation schemes and demand-side participation.

The EPOC Winter Workshop for 2025 was held on Friday September 5 at the University of Auckland. Talk slides are now available at this link.

The EPOC Winter Workshop for 2025 will be held on Friday September 5 at the University of Auckland.

The University of Auckland approved the Green Energy Engineering Centre as an Engineering Faculty Centre at the University of Auckland. EPOC Director Prof. Andy Philpott will be the Director of the new centre. More details can be found at this link.

ICSP Tutorial, Ecole des Mines, Paris, July 27, 2025

ICSP Tutorial, Ecole des Mines, Paris, July 27, 2025

EMERALD is a Julia package for optimizing long-term capacity investment for 100% renewable electricity systems. It is based on JuDGE.jl, which minimizes the expected cost of meeting uncertain demand over a long time horizon, using a Dantzig-Wolfe decomposition algorithm. The time horizons are many years, and so modelling risk is important. This project will develop an approach to incorporate risk aversion into EMERALD.

This talk covers pricing of contingent claims, such as financial options, using discrete time stochastic programming under multi-period scenario trees. It is well known that the absence of arbitrage profits in the state space is equivalent to the existence of a martingale probability measure when there are no transactions costs. When such trees are utilized in stochastic programming in pricing contingent claims defined on the state space, the problem reduces to one of solving a generalized moment problem at each node. Appealing to well-known bounding results from the literature, I propose a simplicial upper bounding procedure based on recursive backward dynamic programming. This serves to formalize the known results as well as to provide extensions. The results are also generalized to the case of when proportional transactions costs are present for trading. With increased transactions costs, it is shown why arbitrage-free multi-period (state price) scenario trees are easier to generate. Geometric interpretations and preliminary computational results will be presented.

The EU ETS, launched in 2005, is the world's first international cap-and trade system governing CO2 emissions. The consideration of carbon, its pricing and business implications has become key for all actors in the European power sector, from board level to the trading floor. As well as providing a brief background and overview of the EU ETS and European power market(s), this talk will provide a personal experience of the changing impact of the ETS on the pricing of power, investment decisions, trading, hedging and analysis. We will also touch briefly on some key trends driving developments within the EU energy complex, of which CO2 forms an integral part.

Talks soon available for download.

Talks now available for download.