Necessary and sufficient conditions for optimal offers in electricity markets


Anderson, Edward J. and Xu, Huifu (2002) Necessary and sufficient conditions for optimal offers in electricity markets. SIAM Journal on Control and Optimization, 41, (4), 1212-1228. (doi:10.1137/S0363012900367801).

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Description/Abstract

In this paper, we consider the optimal policy for a generator offering power into a wholesale electricity market operating under a pool arrangement. Anderson and Philpott [Math. Oper. Res., 27 (2002), pp. 82--100] recently discussed necessary conditions for an optimal offer curve when there is uncertainty in the demand and in the behavior of other participants in the market. They show that the objective function in these circumstances can be expressed as a line integral along the offer curve of a profit function integrated with respect to a market distribution function. In this paper, we prove the existence of an optimal offer stack, and we extend the analysis of [Math. Oper. Res., 27 (2002), pp. 82--100] to include necessary conditions of a higher order in the presence of horizontal and/or vertical sections in an offer curve. Finally, we establish sufficient conditions for an offer curve to be locally optimal.

Item Type: Article
ISSNs: 0363-0129 (print)
Related URLs:
Keywords: electricity markets, optimal offer, necessary conditions, sufficient conditions
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics
Divisions: University Structure - Pre August 2011 > School of Mathematics > Operational Research
ePrint ID: 29691
Date Deposited: 12 May 2006
Last Modified: 27 Mar 2014 18:18
URI: http://eprints.soton.ac.uk/id/eprint/29691

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