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Hydroelectric reservoir optimization in a pool market

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Abstract.

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.

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Authors and Affiliations

  1. Department of Statistics, University of Auckland,  

    G. Pritchard

  2. Department of Engineering Science, University of Auckland,  

    A.B. Philpott

  3. Department of Mathematical Sciences, University of Technology, Sydney

    P.J. Neame

Authors
  1. G. Pritchard
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  2. A.B. Philpott
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  3. P.J. Neame
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Pritchard, G., Philpott, A. & Neame, P. Hydroelectric reservoir optimization in a pool market. Math. Program. 103, 445–461 (2005). https://doi.org/10.1007/s10107-004-0565-0

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  • DOI: https://doi.org/10.1007/s10107-004-0565-0

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