Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons

• 成果类型: Article
• 署名作者: Cruise, James; Flatley, Lisa; Gibbens, Richard; Zachary, Stan
• 署名单位: Heriot Watt University; University of Warwick; University of Cambridge
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2018.1761
• 发表日期: 2019
• 页码: 1-9
• 关键词: merchant commodity storage; optimization; valuation; time

摘要

We study the control of large-scale energy storage operating in a market. Reoptimization of deterministic models is a common pragmatic approach when prices are stochastic. We apply Lagrangian theory to develop such a model and to establish decision and forecast horizons when storage trading affects these prices, an important aspect of some energy markets. The determination of these horizons also provides a simple and efficient algorithm for the determination of the optimal control. The forecast horizons vary between one and 15 days in realistic electricity storage examples. These examples suggest that modeling price impact is important.