Offer stack optimization in electricity pool markets
成果类型：
Article
署名作者：
Neame, PJ; Philpott, AB; Pritchard, G
署名单位：
University of Technology Sydney; University of Auckland; University of Auckland
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.51.3.397.14955
发表日期：
2003
页码：
397-408
关键词：
摘要：
We consider a generator making offers of energy into an electricity pool market. For a given time period, it must submit an offer stack, consisting of a fixed number of quantities of energy and prices at which it wants these quantities dispatched. We assume that the generator cannot offer enough power to substantially affect the market price, so the optimal response would be to offer energy at marginal cost. However. the market rules do not permit an arbitrary function, so the problem is to find an offer stack approximating marginal cost in a way that maximizes its profit. We give optimality conditions for this problem and derive an optimization procedure based on dynamic programming. This procedure is illustrated by applying it to several examples with different costs of production.