Interruptible electricity contracts from an electricity retailer's point of view: Valuation and optimal interruption
成果类型：
Article
署名作者：
Baldick, Ross; Kolos, Sergey; Tompaidis, Stathis
署名单位：
University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin; University of Texas System; University of Texas Austin
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.1060.0303
发表日期：
2006
页码：
627-642
关键词：
摘要：
We consider interruptible electricity contracts issued by an electricity retailer that allow for interruptions to electric service in exchange for either an overall reduction in the price of electricity delivered or for financial compensation at the time of interruption. We provide a structural model to determine electricity prices based on stochastic models of supply and demand. We use stochastic dynamic programming to value interruptible contracts from the point of view of an electricity retailer, and describe the optimal interruption strategy. We also demonstrate that structural models can be used to value contracts in competitive markets. Our numerical results indicate that, in a deregulated market, interruptible contracts can help alleviate supply problems associated with spikes of price and demand and that competition between retailers results in lower value and less frequent interruption.