Short term portfolio optimization for load serving entity considering multiple exchanges and ramping constraints

The typical requirement of supply-demand balance in electricity market necessitates for an LSE to incorporate corrective measures in short term. In case of surplus, either few of the contracts may have to be backed down and/or excess power has to be sold in short term market(s). In contrast, deficit scenario has to be managed by procuring additional requirement again from short term market(s). The volatility, and hence risk, associated with prices in such market motivates LSEs to look for an optimal strategy based on portfolio management. While doing so, in addition to conventional approach, one has to comply by regulations as well as factor for technical constraints. In this paper, we model prevention of arbitrage and ramping constraints akin to unit commitment problem.