Pricing flexible electricity contracts

Author

Bjorgan, Roger ; Song, Haili ; Liu, Chen-Ching ; Dahlgren, Robert

Author_Institution

Dept. of Electr. Eng., Washington Univ., Seattle, WA, USA

Volume

15

Issue

2

fYear

2000

fDate

5/1/2000 12:00:00 AM

Firstpage

477

Lastpage

482

Abstract

This paper is concerned with pricing of electricity contracts that allow flexible scheduling of the supply or demand of electric energy. The contracts are priced based on the principle of no-arbitrage. Variables of the contracts are used to determine arbitrage opportunities and the price of contracts. Pricing of flexible contracts involves a scheduling policy. By representing the spot price with an appropriate stochastic process, the scheduling policy can be found using stochastic dynamic programming. Simulation examples illustrate the tradeoffs between prices and scheduling flexibility

Keywords

contracts; dynamic programming; power generation scheduling; power system economics; stochastic programming; electric energy demand; electric energy supply; flexible electricity contracts pricing; flexible scheduling; scheduling policy; spot price representation; stochastic dynamic programming; stochastic process; Dynamic programming; Dynamic scheduling; Energy management; Forward contracts; Load management; Power system economics; Power system simulation; Pricing; Stochastic processes; Stochastic systems;

fLanguage

English

Journal_Title

Power Systems, IEEE Transactions on

Publisher

ieee

ISSN

0885-8950

Type

jour

DOI

10.1109/59.867128

Filename

867128