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Necessary and sufficient conditions for optimal offers in electricity markets

Necessary and sufficient conditions for optimal offers in electricity markets
Necessary and sufficient conditions for optimal offers in electricity markets
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.
electricity markets, optimal offer, necessary conditions, sufficient conditions
1212-1228
Anderson, Edward J.
1279b761-3da8-431f-93be-9f2370e354d9
Xu, Huifu
d3200e0b-ad1d-4cf7-81aa-48f07fb1f8f5
Anderson, Edward J.
1279b761-3da8-431f-93be-9f2370e354d9
Xu, Huifu
d3200e0b-ad1d-4cf7-81aa-48f07fb1f8f5

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).

Record type: Article

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.

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More information

Published date: 2002
Keywords: electricity markets, optimal offer, necessary conditions, sufficient conditions
Organisations: Operational Research

Identifiers

Local EPrints ID: 29691
URI: http://eprints.soton.ac.uk/id/eprint/29691
PURE UUID: b15b2f98-8cfd-42a0-b610-b1f841494dbd
ORCID for Huifu Xu: ORCID iD orcid.org/0000-0001-8307-2920

Catalogue record

Date deposited: 12 May 2006
Last modified: 26 Nov 2019 01:48

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Contributors

Author: Edward J. Anderson
Author: Huifu Xu ORCID iD

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