An analysis of staged purchases in deregulated time-sequential electricity markets

We study the problem of optimal staged purchases of electricity in time-sequential deregulated electricity markets. In recent years, the electricity industry has been deregulated and multiple time-sequential auction markets, such as the block forward, the day-ahead and the hour-of, and the real-time electricity markets, are formed. Thus, a load serving entity need to purchase electricity in these markets economically to meet its demand in each settlement time interval. We use the stochastic dynamic programming approach to establish a condition for staged purchases of electricity to be optimal and study its properties. Two algorithms for computing the optimal staged purchases are also developed.