Optimal strategies for operating energy storage in an arbitrage or smoothing market

Lisa C  Flatley; Robert S  MacKay; Michael  Waterson

doi:10.3934/jdg.2016020

Article Contents

2016, Volume 3, Issue 4: 371-398. Doi: 10.3934/jdg.2016020

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Optimal strategies for operating energy storage in an arbitrage or smoothing market

1.
Mathematics Institute, University of Warwick, Gibbet Hill Road, Coventry, CV4 7AL
2.
Economics Department, University of Warwick, Gibbet Hill Road, Coventry, CV4 7AL

Received: February 29, 2016

Revised: August 31, 2016

Published: September 2016

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Abstract

We characterize cost-minimizing operating strategies for an energy store over a given interval of time $[0,T]$. The cost functional here can represent, for example, a traditional economic cost or a penalty for time-variation of the output from a storage-assisted wind farm or more general imbalance between supply and demand. Our analysis allows for leakage, operating inefficiencies and general cost functionals. In the case where the cost of a store depends only on its instantaneous power output (or input), we present an algorithm to determine the optimal strategies. A key feature is that this algorithm is localized in time, in the sense that the action of the store at a time $t\in[0,T]$ requires cost information over only some usually much shorter subinterval of time $[t,t_k]\subset[t,T].$

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Mathematics Subject Classification: Primary: 49K30; Secondary: 93C10.

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