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Intraday renewable electricity trading: advanced modeling and numerical optimal control. (English) Zbl 1462.49056

Summary: As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469-475, 2019), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows 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 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.

MSC:

49M41 PDE constrained optimization (numerical aspects)
65K10 Numerical optimization and variational techniques
91G80 Financial applications of other theories
35F21 Hamilton-Jacobi equations
35D40 Viscosity solutions to PDEs
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