Stochastic Multistage Bidding Optimisation in an Intraday Market with Limited Liquidity

摘要

This paper describes a multistage stochastic mixed integer programming problem for a hydro power producer that maximizes profit in the low liquid intraday market and balancing market. A comprehensive modelling framework with an internal rolling horizon is presented and the continuous intraday market is modelled using stochastic residual demand curves.