Optimal trading policies for wind energy producer

TL;DR

This paper develops a stochastic model to optimize trading strategies for wind energy producers, integrating forecast updates across multiple markets to maximize economic gains and quantify forecast value.

Contribution

It introduces a dynamic, stochastic framework for trading policy optimization that incorporates imperfect forecast updates for wind energy producers.

Findings

Quantifies the economic value of forecast updates.

Provides a method to optimize trading across multiple markets.

Demonstrates potential profit improvements with forecast integration.

Abstract

We study the optimal trading policies for a wind energy producer who aims to sell the future production in the open forward, spot, intraday and adjustment markets, and who has access to imperfect dynamically updated forecasts of the future production. We construct a stochastic model for the forecast evolution and determine the optimal trading policies which are updated dynamically as new forecast information becomes available. Our results allow to quantify the expected future gain of the wind producer and to determine the economic value of the forecasts.