Intraday renewable electricity trading: advanced modeling and numerical optimal control

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Abstract

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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Glas, S., Kiesel, R., Kolkmann, S., Kremer, M., Graf von Luckner, N., Ostmeier, L., … Weber, C. (2020). Intraday renewable electricity trading: advanced modeling and numerical optimal control. Journal of Mathematics in Industry, 10(1). https://doi.org/10.1186/s13362-020-0071-x

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