An analysis of staged purchases in deregulated time-sequential electricity markets

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	An analysis of staged purchases in deregulated time-sequential electricity markets
	Sethi, Suresh P.; Yan, Houmin ; Yan, J. Houzhong ; Zhang, Hanqin
	2005-11-01
发表期刊	JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION
ISSN	1547-5816
卷号	1 期号:4 页码:443-463
摘要	We study the problem of optimal staged purchases of electricity in time-sequential deregulated electricity markets. In recent years, the electricity industry has been deregulated and multiple time-sequential auction markets, such as the block forward, the day-ahead and the hour-of, and the real-time electricity markets, are formed. Thus, a load serving entity need to purchase electricity in these markets economically to meet its demand in each settlement time interval. We use the stochastic dynamic programming approach to establish a condition for staged purchases of electricity to be optimal and study its properties. Two algorithms for computing the optimal staged purchases are also developed.
关键词	dynamic programming equation optimal policy monotonicity martingale algorithm
语种	英语
WOS研究方向	Engineering ; Operations Research & Management Science ; Mathematics
WOS类目	Engineering, Multidisciplinary ; Operations Research & Management Science ; Mathematics, Interdisciplinary Applications
WOS记录号	WOS:000240849100003
出版者	AMER INST MATHEMATICAL SCIENCES
引用统计
文献类型	期刊论文
条目标识符	http://ir.amss.ac.cn/handle/2S8OKBNM/1570
专题	应用数学研究所
通讯作者	Sethi, Suresh P.
作者单位	1.Univ Texas Dallas, Sch Management, Richardson, TX 75083 USA 2.Chinese Univ Hong Kong, Dept Syst Engn & Engn Management, Shatin, Hong Kong, Peoples R China 3.So Calif Edison Co, Div Market Monitoring & Anal, Rosemead, CA 91770 USA 4.Acad Sinica, Acad Math & Syst Sci, Beijing 100080, Peoples R China
推荐引用方式 GB/T 7714	Sethi, Suresh P.,Yan, Houmin,Yan, J. Houzhong,et al. An analysis of staged purchases in deregulated time-sequential electricity markets[J]. JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION,2005,1(4):443-463.
APA	Sethi, Suresh P.,Yan, Houmin,Yan, J. Houzhong,&Zhang, Hanqin.(2005).An analysis of staged purchases in deregulated time-sequential electricity markets.JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION,1(4),443-463.
MLA	Sethi, Suresh P.,et al."An analysis of staged purchases in deregulated time-sequential electricity markets".JOURNAL OF INDUSTRIAL AND MANAGEMENT OPTIMIZATION 1.4(2005):443-463.