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標題: | 應用實質選擇權決定埤塘擴充時程之研究 Application of Real Options Analysis to Pond Capacity Expansion Schedule Decision Problems |
作者: | Hsin-Ru Wang 王鑫儒 |
指導教授: | 徐年盛(Nien-Sheng Hsu) |
關鍵字: | 不確定性分析,實質選擇權,容量擴充, uncertainty analysis,real option,capacity expansion, |
出版年 : | 2009 |
學位: | 碩士 |
摘要: | 水利設施系統之容量擴充(Capacity Expansion)包含下列三個子問題,分別為擴充地點、擴充容積以及擴充時程。在過去研究之中,擴充地點以及擴充容積問題已被研究得很透徹。然而擴充時程問題因為牽涉的層面較廣,故具有許多種簡化問題的想法。本研究利用實質選擇權以及不確定性分析之概念,建立一數值模擬模式來模擬埤塘之擴充時程對效益所造成之影響,模式中包含未來雨量資料之產生、埤塘供水調配以及實質選擇權分析。
在擴充地點及擴充容積問題方面利用優選法求解,在擴充時程方面利用選擇權模式求解。根據模式結果顯示,埤塘之擴充時程對效益的影響是顯著的,根據實際資料優選之結果,最大效益近六千萬,但在某些條件以及時間之下執行擴充容量並不具有效益。透過實質選擇權分析可以在考量不同情境之下評量擴充時程對水利設施效益的影響。根據實質選擇權分析結果,吾人可知提前擴充埤塘容量的效益較高,且若擴充容量後之使用年限足以彌補前期缺水損失時,越早執行擴充容量越好。透過選擇權分析與傳統優選模式結合可有效評估容量擴充問題。 In hydraulic engineering, there are 3 sub problem in capacity expansion problem, i.e. location, sizing, and scheduling. In the past, the former problems are well known. However, the third problem is searched in a lot of ways of thinking. This research uses the concept of real option method and uncertainty analysis method to develop a numerical model and to simulate the influence of pond expansion scheduling on the benefit. The model includes generation of future rain data, ponds supplying water, and real option analysis. And in the problem of expansion location and expansion sizing, this research uses traditional optimization to solve the problem. This research uses optimization model to solve the problem of location and sizing. The result shows that the benefit is significant. And using the real data to optimization model, one can get the optimal benefit will be almost 60 million, but execute capacity in some condition will have no benefit. Through the real option model one can know that early execute capacity expansion will have more benefit. By adding the 2 model we can analyze capacity expansion problem efficiently. |
URI: | http://tdr.lib.ntu.edu.tw/jspui/handle/123456789/44110 |
全文授權: | 有償授權 |
顯示於系所單位: | 土木工程學系 |
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