An optimal trading problem in intraday electricity markets

Abstract : We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the clients minus the production from renewable energy. For a simple linear price impact model and a quadratic criterion, we explicitly obtain approximate optimal strategies in the intraday market and thermal power generation, and exhibit some remarkable properties of the trading rate. Furthermore, we study the case when there are jumps on the demand forecast and on the intraday price, typically due to error in the prediction of wind power generation. Finally, we solve the problem when taking into account delay constraints in thermal power production.
Type de document :
Pré-publication, Document de travail
2015
Liste complète des métadonnées


https://hal.archives-ouvertes.fr/hal-01104829
Contributeur : Huyen Pham <>
Soumis le : lundi 19 janvier 2015 - 11:59:30
Dernière modification le : mardi 30 mai 2017 - 01:17:31
Document(s) archivé(s) le : lundi 20 avril 2015 - 10:36:24

Fichier

exe-intraenergy-AGP.pdf
Fichiers produits par l'(les) auteur(s)

Identifiants

  • HAL Id : hal-01104829, version 1

Collections

Citation

René Aïd, Pierre Gruet, Huyên Pham. An optimal trading problem in intraday electricity markets . 2015. <hal-01104829>

Partager

Métriques

Consultations de
la notice

618

Téléchargements du document

700