标题： 日内电力市场中的最优交易问题 显示英文标题

标题： An optimal trading problem in intraday electricity markets

摘要： 我们考虑在日内电力市场背景下，电力生产商的最优交易问题。 目标是减少由于电力随机剩余需求引起的不平衡成本，即客户消耗量减去可再生能源的生产量。 对于一个简单的线性价格影响模型和二次准则，我们明确获得了日内市场和热电生产的近似最优策略，并展示了交易速率的一些显著特性。 此外，我们研究了需求预测和日内价格出现跳跃的情况，这通常是由于风力发电预测错误引起的。 最后，我们解决了考虑热电生产延迟约束的问题。 显示英文摘要

摘要： We consider the problem of optimal trading for a power producer in the context of intraday electricity markets. The aim is to minimize the imbalance cost induced by the random residual demand in electricity, i.e. the consumption from the clients minus the production from renewable energy. For a simple linear price impact model and a quadratic criterion, we explicitly obtain approximate optimal strategies in the intraday market and thermal power generation, and exhibit some remarkable properties of the trading rate. Furthermore, we study the case when there are jumps on the demand forecast and on the intraday price, typically due to error in the prediction of wind power generation. Finally, we solve the problem when taking into account delay constraints in thermal power production.