Hydroelectric reservoir optimization in a pool market

• 成果类型: Article
• 署名作者: Pritchard, G; Philpott, AB; Neame, PJ
• 署名单位: University of Auckland; University of Auckland; University of Technology Sydney
• 刊物名称: MATHEMATICAL PROGRAMMING
• ISSN/ISSBN: 0025-5610
• DOI: 10.1007/s10107-004-0565-0
• 发表日期: 2005
• 页码: 445-461
• 关键词: electricity; SYSTEM

摘要

For a price-taking generator operating a hydro-electric reservoir in a pool electricity market, the optimal stack to offer in each trading period over a planning horizon can be computed using dynamic programming. However, the market trading period (usually 1 hour or less) may be much shorter than the inherent time scale of the reservoir (often many months). We devise a dynamic programming model for such situations in which each stage represents many trading periods. In this model, the decision made at the beginning of each stage consists of a target mean and variance of the water release in the coming stage. This decomposes the problem into inter-stage and intra-stage subproblems.