Intraday Renewable Electricity Trading: Advanced Modeling and Optimal Control
This paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows us 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 thus 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.
This work was funded by the German Federal Ministry for Economic Affairs and Energy within the project AEIT. We are grateful to C. Greif (Ulm) for cooperation within AEIT.