Optimal Trading Strategies in Continuous Double Auctions for Transactive Energy

Abstract

The current power distribution system is undergoing a transition from centralized markets to decentralized markets. However, the existing economic mechanism for decentralized markets has many disadvantages such as the ignorance of incomplete information, the lack of negotiation process, and the requirement of a high degree of synchronization between the prosumers. In this paper, we propose a novel economic mechanism based on continuous double auction. With respect to the incomplete information, an adaptive dynamic programming based strategy is used to adjust sequential strategies according to the market trends. Several structural results are established, which are then verified by sensitivity analysis.