Irreversible investments with delayed reaction: an application to generation re-dispatch in power system operation
delayed reactionimpulse controlirreversible investmentnumerical solutionpower system operationreflected BSDESnell envelope
Stopping times; optimal stopping problems; gambling theory (60G40) Applications of stochastic analysis (to PDEs, etc.) (60H30) Stochastic network models in operations research (90B15) Dynamic programming (90C39) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Optimal stochastic control (93E20)
This article studies an approach for the activation of bids on the regulated electricity power market, from the perspective of an electric power system operator with a view to minimize its operating cost. The article begins with a description of the operating processes in a deregulated power market and the aim to balance transfer capacity and security so that the maximum performance of the system is achieved. In the second section, the formulation of the problem is presented which is a probabilistic model of congestion management to try to balance production and consumption of electricity. The model contains several parameters including observable parameters by the system operator and a sequence of variables that are linked to the energy bids that have been handed in to the regulated market. The model is solved in Section 3 by dynamic programming which produces a series of optimal stopping problems and the numerical solution aspects of the algorithm are explored in Section 4. The paper concludes with an improved solution technique for speeding up the solution and a very detailed solved numerical example.
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