The Mathematical Institute, University of Oxford, Eprints Archive

Calculation of a power price equilibrium

Troha, M and Hauser, Raphael (2014) Calculation of a power price equilibrium. Technical Report. Not specified. (Submitted)


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In this paper we propose a tractable quardratic programming formulation for calculating the equilibrium term structure of electricity prices. We rely on a theoretical model described in [21], but extend it so that it reflects actually traded electricity contracts, transaction costs and liquidity considerations. Our numerical simulations examine the properties of the term structure and its dependence on various parameters of the model. The proposed quadratic programming formulation is applied to calculate the equilibrium term structure of electricity prices in the UK power grid consisting of a few hundered power plants. The impact of ramp up and ramp down constraints are also studied.

Item Type:Technical Report (Technical Report)
Subjects:H - N > Numerical analysis
Research Groups:Numerical Analysis Group
ID Code:1862
Deposited By: Helen Taylor
Deposited On:16 Oct 2014 08:32
Last Modified:29 May 2015 19:33

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