In 2022, Brazil harnessed an impressive 440.0 terawatt-hours (TWh) of hydraulic energy, constituting a substantial 61.9% share within the total national electric matrix, which stood at 690.1 TWh (EPE, 2023). Hydropower, being a renewable energy source, holds a crucial position in the country's energy landscape. Nonetheless, this dominance also brings forth notable complexities in the field of system management, mainly due to the dynamic nature of river flows and reservoir levels. Within this intricate context, the effective management of physical guarantees and their seasonalization emerges as a critical facet in the orchestration of the Brazilian energy system. This work presents a novel approach employing game theory principles and time series forecasting models to optimize the allocation decisions concerning the seasonalization of the physical guarantee. Our approach incorporates insights from regulatory agencies, market forecasts, and industry expertise. Besides, it empowers decision-makers to calculate the monthly physical guarantee for their power plants, which considers the other agent’s decisions. Notably, we show that regardless of other agent’s risk preferences, the optimal decision consistently converges to the same strategy, known as the Nash Equilibrium, optimizing overall results.
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