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This thesis is composed by three works concerning multistage stochastic programming (MSP) applications for implementing optimal decisions for defined benefit pension funds into an asset and liability management framework. The first research focuses on the development of a method for generating asset returns scenario tree processes which serve as the input specification for the risky factors in the optimization MSP problem for general financial applications. In particular the proposed method produces a scenario tree for asset returns which does not contain arbitrage opportunities and which fits the first four moments of the reference probability distribution describing the uncertain nature of the risky factors. The second work deals with the problem of evaluating the liability of a defined benefit pension fund on a market based approach. The proposed methodology has been developed on a risk measure replication approach in a discrete time setting and solved with a numerical optimization approach via MSP. The approach needs the design of a statistical model for all the risky factors driving the pension fund asset and liability dynamic. The statistical model is then used to generate a discrete space and time representation of the risky factors dynamic by means of a scenario tree. The actual price of the pension fund liability will be then defined as the minimum initial capital in order to construct a self-financing trading strategy which replicates the future pensions net expenditure with a certain degree. The degree in which the replication is performed is evaluated on the basis of a risk measure. Finally we propose a methodology to price a longevity swap contract from the point of view of the pension fund manager as the third contribution. We have defined the swap price (the fixed rate) as the maximum fixed rate that allows the pension fund to enter the contract without worsening the liability present value obtained with the risk measure replication approach developed in the second work of this thesis.

The goal of this paper is assessing the economic feasibility of four-phase AC overhead connections, i.e. the real chance that such lines have of being competitive with commonly-used solutions for power transmission. For this reason, the paper illustrates an economical comparison among innovative 325 kV four-phase ac lines, traditional 400 kV three-phase ac lines and increasingly-popular 500 kV HVDC lines. These systems are considered in single-circuit. The comparison is based on the main cost items that characterize these lines, namely investment costs, energy losses costs and reliability-related costs. The uncertainty of the relevant parameters, particularly significant as far as innovative four-phase ac lines are concerned, is also discussed.

This article deals with the parameters’ measurement of interarea oscillations, which are low-frequency damped oscillations that affect the high-voltage transmission lines when an unbalance between the power demand and the generated power occurs. The authors propose a method that processes the samples provided by the phasor measurement unit (PMU) and performs the online estimation of the parameters that characterize the interarea oscillations. The method takes advantage of the speed of a heuristic algorithm, such as the particle swarm optimization (PSO), but performs an enhancement on the results to increase the reliability. The tests carried out for the method assessment prove that the proposed method is characterized by a fast response, high accuracy, and excellent reliability, regardless of the type of oscillation that is considered.

This paper deals with the problem of the optimal rating of mineral-oil-immersed transformers in large wind farms. The optimal rating is derived based on the probabilistic analyses of wind power generation through the Ornstein–Uhlenbeck stochastic process and on thermal model of the transformer through the integration of stochastic differential equations. These analyses allow the stochastic characterization of lifetime reduction of the transformer and then its optimal rating through a simple closed form. The numerical application highlights the effectiveness and easy applicability of the proposed methodology. The proposed methodology allows deriving the rating of transformers which better fits the specific peculiarities of wind power generation. Compared to the conventional approaches, the proposed method can better adapt the transformer size to the intermittence and variability of the power generated by wind farms, thus overcoming the often-recognized reduced lifetime.

The paper deals with design and control of a fault tolerant and reconfigurable photovoltaic converter integrating a Battery Energy Storage System as a standby backup energy resource. When a failure occurs, an appropriate control method makes the energy conversion system capable of operating in open-delta configuration in parallel with the grid as well as in islanded mode. In case network voltage is lacking due to heavy anomalies or maintenance reasons, the proposed control system is able to quickly disconnect the inverter from the grid while ensuring the energy continuity to the local load and the emergency fixtures by means of the integrated battery packs. In particular, the paper proposes a fast islanding detection method essential for the correct operation of the control system. This specific technique is based on the Hilbert transform of the voltage of the point of common coupling, and it identifies the utility lack in a period of time equal to half a grid cycle in the best case (i.e., 10 ms), thus resulting in good speed performance fully meeting the standard requirements. A thorough numerical investigation is carried out with reference to a representative case study in order to demonstrate the feasibility and the effectiveness of the proposed control strategy.

This paper deals with hybrid energy storage system (HESS) management strategies, optimized for urban road electric vehicle applications. These new control strategies aim to extend battery pack durability by reducing charging/discharging current peaks by means of supercapacitors. The optimization is carried out with reference to the case study of a HESS composed of a high power unit, i.e. supercapacitor module plus a high energy unit, i.e. a battery pack, based on nickel-chloride ZEBRA (ZEolite Battery Research Africa) technology. On-board integration of the two storage devices is obtained through a DC/DC bidirectional power converter, as this configuration is particularly convenient for many kinds of urban vehicle operations. The novelty of this work consists in an analytical methodology, based on non-linear programming and calculus of variations theory, to evaluate management strategies characterized by high effectiveness in reducing battery current transients. The identification and optimization of these strategies are initially performed on the basis of a vehicle model, built in the Matlab-Simulink simulation environment. To this purpose, the experimental characterization of the supercapacitor module is obtained with reference to three different models, whose selection depends on the required fitting performance and computational effort indexes, as evaluated in the paper. The energy management strategies identified show promising results in the simulation environment, followed by experimental activities carried out by means of a dedicated 1:1 scale laboratory test bench. The various experimental results presented in this manuscript highlight that the identified λ-control strategy presents effectiveness values up to 57%, close to the ideal results obtained in the simulation environment. In fact, the methodology proposed in this paper, validated by laboratory experiments, definitely reduces the negative consequences of power peaks on the HESS, indicating the real possibility of using these results in the design and control of urban road vehicles.