2014/09/23 by Miha Troha, Troha, Miha, Raphael Hauser +1 · 1 citation
Economics, Econometrics and Finance · Engineering · Mathematics · #Electric Power System Optimization #FOS: Economics and business #FOS: Mathematics #Monetary Policy and Economic Impact #Optimization and Control (math.OC) #Pricing of Securities (q-fin.PR) #Smart Grid Energy Management #math.OC #q-fin.PR
paper · pdf · doi:10.48550/arxiv.1409.6645
arXiv admin note: text overlap with arXiv:1408.2464
arxiv created 2014/09/23 · openalex publication_date 2014/09/23 · arxiv updated 2014/09/24 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28
In this paper we propose a tractable quadratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded electricity contracts, transaction costs and liquidity considerations. Our numerical simulations examine the properties of the term structure and its dependence on various parameters of the model. The proposed quadratic programming formulation is applied to calculate the equilibrium term structure of electricity prices in the UK power grid consisting of a few hundred power plants. The impact of ramp up and ramp down constraints are also studied.