Intraday renewable electricity trading: advanced modeling and numerical optimal control

As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469–475, 2019 ), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows to incorporate market data e.g. for half-spread and...

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Vydáno v:Journal of mathematics in industry Ročník 10; číslo 1; s. 1 - 17
Hlavní autoři: Glas, Silke, Kiesel, Rüdiger, Kolkmann, Sven, Kremer, Marcel, Graf von Luckner, Nikolaus, Ostmeier, Lars, Urban, Karsten, Weber, Christoph
Médium: Journal Article
Jazyk:angličtina
Vydáno: Berlin/Heidelberg Springer Berlin Heidelberg 04.02.2020
Springer Nature B.V
SpringerOpen
Témata:
Applications of Mathematics
ECMI 2018 - Progress in Industrial Mathematics
Electricity
Hamilton–Jacobi–Bellman equation
Intraday trading
Math. Appl. in Environmental Science
Mathematical analysis
Mathematical and Computational Biology
Mathematical and Computational Engineering
Mathematical Methods in Physics
Mathematical Modeling and Industrial Mathematics
Mathematical models
Mathematics
Mathematics and Statistics
Numerical optimization
Optimal control
Wind power
49L99
Hamilton–Jacobi–Bellman equation
65K10
Numerical optimization
91G80
Intraday trading
ISSN:2190-5983, 2190-5983
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Shrnutí:As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469–475, 2019 ), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows to incorporate market data e.g. for half-spread and immediate price impact. The optimal trading and generation strategy of an agent is derived as the viscosity solution of a second-order Hamilton–Jacobi–Bellman (HJB) equation for which no closed-form solution can be given. We construct a numerical approximation allowing us to use continuous input data. Numerical results for a portfolio consisting of three conventional units and wind power are provided.
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ISSN:2190-5983
2190-5983
DOI:10.1186/s13362-020-0071-x