Intraday renewable electricity trading: advanced modeling and numerical optimal control

DOI10.1186/S13362-020-0071-XMaRDI QIDQ2022115zbMATH OpenOpenAlexFDO

Authors Yanyan Li

Publication date 27 April 2021

Published in Journal of Mathematics in Industry (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1186/s13362-020-0071-x

zbMATH Keywords

Hamilton-Jacobi-Bellman equationintraday tradingnumerical optimization

Mathematics Subject Classification ID

Viscosity solutions to PDEs (35D40) Hamilton-Jacobi equations (35F21) PDE constrained optimization (numerical aspects) (49M41) Numerical optimization and variational techniques (65K10) Financial applications of other theories (91G80)

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Cites work

• A reduced basis method for the Hamilton-Jacobi-Bellman equation within the European Union Emission Trading Scheme
• Adaptive wavelet methods on unbounded domains
• An optimal trading problem in intraday electricity markets
• Controlled Markov processes and viscosity solutions
• scientific article; zbMATH DE number 3126094 (Why is no real title available?)
• scientific article; zbMATH DE number 1325009 (Why is no real title available?)
• Incorporating order-flow into optimal execution
• Intraday renewable electricity trading: advanced modeling and optimal control
• On existence and uniqueness of solutions of Hamilton-Jacobi equations
• Statistical predictor identification
• Stochastic differential equations. An introduction with applications.

Cited in

(9)

• Intraday renewable electricity trading: advanced modeling and optimal control
• An optimal trading problem in intraday electricity markets
• Optimal cross-border electricity trading
• Equilibrium price in intraday electricity markets
• Intraday power trading: toward an arms race in weather forecasting?
• Stochastic optimization with dynamic probabilistic forecasts
• The reduced basis method in space and time: challenges, limits and perspectives
• Optimal execution in intraday energy markets under Hawkes processes with transient impact
• A cross-border market model with limited transmission capacities

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