TY - JOUR AU - Glas, Silke AU - Kiesel, Rüdiger AU - Kolkmann, Sven AU - Kremer, Marcel AU - Graf von Luckner, Nikolaus AU - Ostmeier, Lars AU - Urban, Karsten AU - Weber, Christoph PY - 2020 DA - 2020/02/04 TI - Intraday renewable electricity trading: advanced modeling and numerical optimal control JO - Journal of Mathematics in Industry SP - 3 VL - 10 IS - 1 AB - As an extension of (Progress in industrial mathematics at ECMI 2018, pp. 469–475, 2019), this paper is concerned with a new mathematical model for intraday electricity trading involving both renewable and conventional generation. The model allows 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 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. SN - 2190-5983 UR - https://doi.org/10.1186/s13362-020-0071-x DO - 10.1186/s13362-020-0071-x ID - Glas2020 ER -