Electricity Virtual Bidding Strategy Via Entropy-Regularized Stochastic Control Method

Zhou Fang

Papers from arXiv.org

Abstract: We propose a virtual bidding strategy by modeling the price differences between the day-ahead market and the real-time market as Brownian motion with drift, where the drift rate and volatility are functions of meteorological variables. We then transform the virtual bidding problem into a mean-variance portfolio management problem, where we approach the mean-variance portfolio management problem by using the exploratory mean-variance portfolio management framework

Date: 2023-03
New Economics Papers: this item is included in nep-ene and nep-rmg
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