An optimal trading problem in intraday electricity markets

DOI10.1007/S11579-015-0150-8zbMATH Open1332.35363arXiv1501.04575OpenAlexW2127617434MaRDI QIDQ253117FDOQ253117

Authors: René Aïd, Pierre Gruet, Huyên Pham 

Publication date: 8 March 2016

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

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.

Full work available at URL: https://arxiv.org/abs/1501.04575

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zbMATH Keywords

delayjumpsintraday electricity marketslinear-quadratic control problemoptimal tradingrenewable energy

Mathematics Subject Classification ID

Quadratic programming (90C20) PDEs in connection with game theory, economics, social and behavioral sciences (35Q91) Environmental economics (natural resource models, harvesting, pollution, etc.) (91B76) Existence theories for optimal control problems involving partial differential equations (49J20) Applications of stochastic analysis (to PDEs, etc.) (60H30) Financial applications of other theories (91G80) Application models in control theory (93C95) Optimal stochastic control (93E20)

Cites Work

• Continuous-time stochastic control and optimization with financial applications
• Some mathematical aspects of market impact modeling
• Probability with Martingales
• Optimal portfolio liquidation with limit orders
• A generalized linear model approach to seasonal aspects of wind speed modeling
• Electricity derivatives
• Applied stochastic control of jump diffusions

Cited In (17)

• Intraday renewable electricity trading: advanced modeling and optimal control
• Optimal control of electricity input given an uncertain demand
• Intraday renewable electricity trading: advanced modeling and numerical optimal control
• A bicriteria almost equal minimum cost flow model for day-ahead trading
• Electricity Intraday Price Modelling with Marked Hawkes Processes
• Equilibrium price in intraday electricity markets
• Price formation and optimal trading in intraday electricity markets
• Optimal cross-border electricity trading
• Optimal trading policies for wind energy producer
• Optimal bidding functions for renewable energies in sequential electricity markets
• Optimal trading of imbalance options for power systems using an energy storage device
• Intraday power trading: toward an arms race in weather forecasting?
• A deep reinforcement learning framework for continuous intraday market bidding
• Price formation and optimal trading in intraday electricity markets
• Stochastic optimization with dynamic probabilistic forecasts
• Modeling the intraday electricity demand in Germany
• Optimal price management in retail energy markets: an impulse control problem with asymptotic estimates

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