An Analysis of Staged Purchases in Deregulated Time-Sequential Electricity Markets
Journal of Industrial and Management Optimization, Vol. 1, No. 4, pp. 443-463, November 2005
21 Pages Posted: 30 Jan 2008 Last revised: 13 May 2009
Date Written: 2005
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.
Keywords: Energy markets, Elecricity Markets, Deregulation, demand allocation, auction, time-sequential electricity markets
JEL Classification: C61, D44, M21, Q31, Q38,
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