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An optimization problem in deregulated electricity markets solved with the nonsmooth maximum principle. (English) Zbl 1155.91441

Summary: In this paper, the new short-term problems that are faced by a generation company in a deregulated electricity market are addressed and an optimization algorithm is proposed. Our model of the spot market explicitly represents the price of electricity as an uncertain exogenous variable. We consider a very complex problem of hydrothermal optimization with pumped-storage plants, so the problem deals with non-regular Lagrangian and non-holonomic inequality constraints. To obtain a necessary minimum condition, the problem was formulated within the framework of nonsmooth analysis using the generalized (or Clarke’s) gradient and the Nonsmooth maximum principle. The optimal control problem is solved by means of an algorithm implemented in the commercial software package Mathematica. Results of the application of the method to a numerical example are presented.

MSC:

91B74 Economic models of real-world systems (e.g., electricity markets, etc.)
49J52 Nonsmooth analysis

Software:

Mathematica
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References:

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