From: Intraday renewable electricity trading: advanced modeling and numerical optimal control
Wind energy \(D_{t}\) | \(\sigma_{D}\) | Volatility |
\(D_{0}\) | Initial value | |
Conventional units | n | Number of agent’s conventional units |
\(c_{i}\) | Marginal costs of conventional units, i = 1,…,n | |
\(\kappa^{\min}_{i}\), \(\kappa^{\max}_{i}\) | Minimal/maximal capacity of units i = 1,…,n | |
Prices \(Y_{t}\), \(P_{t}\) Payoff g Profit f Value function V | \(\mu_{Y}\) | Drift of permanently impacted mid price |
\(\sigma_{Y}\) | Volatility of permanently impacted mid price | |
ψ | Permanent price impact of agent’s trading | |
\(Y_{0}\) | Initial value | |
h | Half-spread function | |
φ | Execution cost function | |
α | Penalty function |