Hedging Strategy and Electricity Contract Engineering - IFOR
Hedging Strategy and Electricity Contract Engineering - IFOR
Hedging Strategy and Electricity Contract Engineering - IFOR
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è<br />
aëj Ü j 1Ü á?á@á<br />
bëi<br />
uÝ<br />
é<br />
138 Power portfolio optimization<br />
min<br />
Û Wú ¦KÝ u (6.27)<br />
s á<br />
t á<br />
bëi<br />
u aëi<br />
Ü i 1Ü<br />
Ü r<br />
uÙmÚOã©@ÙˆÚOã ÙˆÚ<br />
u<br />
0 á<br />
bë<br />
j u ¦<br />
è<br />
¦<br />
á?á@á<br />
Ükô<br />
Define<br />
maxÛ aëi<br />
i<br />
<strong>and</strong><br />
max ¦ Û<br />
j<br />
aëj<br />
Û uÝ<br />
bë<br />
á<br />
uÝ<br />
uÝaÜ Û <br />
Û uÝ?Ü uÜ>Ý Û <br />
Û Ý uÜ<br />
j<br />
Evidently u 0 forms the lower envelope of the feasible region<br />
2 , as illustrated in Figure 6.3. Similarly u 0 forms the<br />
lower envelope of the feasible region 2 .<br />
Û uÝ<br />
Observe that Û uÝ can be specified by the points<br />
u 1 0Ü aë1<br />
(6.28)<br />
u i Ü aëi<br />
bëi<br />
u i Ü i 2Ü<br />
Ü r<br />
u r<br />
ë<br />
1<br />
aër<br />
bër<br />
á?á@á<br />
Ü 0 Ü<br />
where u i is the solution to aëi ì<br />
1 bëi ì<br />
1 u aë i<br />
bëi<br />
u, given by<br />
u aëi 1<br />
aëi<br />
i ì bëi 1<br />
bëi<br />
ì<br />
Ü i<br />
2Ü Ü r á á@á?á<br />
Following from Theorem 6.1 it is easy to see zÛ uÝ that is specified by these<br />
points by observing that the point u 1 u é 2 u é<br />
r 1, the intersection<br />
ë<br />
á?á@á
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