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.

中文翻译：

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盘中可再生电力交易：高级建模和数值最优控制

作为（ECMI 2018的工业数学进展，第pp.469-475，2019）的扩展，本文关注的是涉及可再生能源和常规能源的日间电力交易的新数学模型。该模型允许合并市场数据，例如半价差和即时价格影响。代理商的最优交易和生成策略是作为二阶Hamilton-Jacobi-Bellman（HJB）方程的粘性解得出的，该方程无法给出封闭形式的解。我们构造一个数值近似值，使我们可以使用连续输入数据。提供了由三个常规单位和风力组成的投资组合的数值结果。