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

See all articles by Suresh Sethi

Suresh Sethi

University of Texas at Dallas - Naveen Jindal School of Management

Houmin Yan

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management

J. Houzhong Yan

affiliation not provided to SSRN

Hanqin Zhang

Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences

Date Written: 2005

Abstract

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,

Suggested Citation

Sethi, Suresh and Yan, Houmin and Yan, J. Houzhong and Zhang, Hanqin, An Analysis of Staged Purchases in Deregulated Time-Sequential Electricity Markets (2005). Journal of Industrial and Management Optimization, Vol. 1, No. 4, pp. 443-463, November 2005. Available at SSRN: https://ssrn.com/abstract=1087589 or http://dx.doi.org/10.2139/ssrn.1087589

Suresh Sethi (Contact Author)

University of Texas at Dallas - Naveen Jindal School of Management ( email )

800 W. Campbell Road, SM30
Richardson, TX 75080-3021
United States

Houmin Yan

The Chinese University of Hong Kong (CUHK) - Department of Systems Engineering & Engineering Management ( email )

Shatin, New Territories
Hong Kong

J. Houzhong Yan

affiliation not provided to SSRN

Hanqin Zhang

Chinese Academy of Sciences (CAS) - Academy of Mathematics and Systems Sciences ( email )

Zhong-Guan-Cun-Dong-Lu 55, Haidian District
Beijing, Beijing 100080
China

Register to save articles to
your library

Register

Paper statistics

Downloads
151
Abstract Views
792
rank
194,639
PlumX Metrics