Intraday Renewable Electricity Trading: Advanced Modeling and Optimal Control

This paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows us 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 thus 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.