Intraday renewable electricity trading: advanced modeling and numerical optimal control.

Autor:	Glas, Silke, Kiesel, Rüdiger, Kolkmann, Sven, Kremer, Marcel, Graf von Luckner, Nikolaus, Ostmeier, Lars, Urban, Karsten, Weber, Christoph
Předmět:	NUMERICAL control of machine tools ELECTRICITY WIND power HAMILTON-Jacobi-Bellman equation MATHEMATICAL models VISCOSITY solutions
Zdroj:	Journal of Mathematics in Industry; 2/4/2020, Vol. 10 Issue 1, p1-17, 17p
Abstrakt:	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. [ABSTRACT FROM AUTHOR]
Databáze:	Complementary Index
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