Optimizing Trading Decisions for Hydro Storage Systems Using Approximate Dual Dynamic Programming

• 成果类型: Article
• 署名作者: Loehndorf, Nils; Wozabal, David; Minner, Stefan
• 署名单位: Vienna University of Economics & Business; Technical University of Munich
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2013.1182
• 发表日期: 2013
• 页码: 810-823
• 关键词: stochastic optimization; linear-programs; generation; strategies; POWER; algorithms; spot

摘要

We propose a new approach to optimize operations of hydro storage systems with multiple connected reservoirs whose operators participate in wholesale electricity markets. Our formulation integrates short-term intraday with long-term interday decisions. The intraday problem considers bidding decisions as well as storage operation during the day and is formulated as a stochastic program. The interday problem is modeled as a Markov decision process of managing storage operation over time, for which we propose integrating stochastic dual dynamic programming with approximate dynamic programming. We show that the approximate solution converges toward an upper bound of the optimal solution. To demonstrate the efficiency of the solution approach, we fit an econometric model to actual price and inflow data and apply the approach to a case study of an existing hydro storage system. Our results indicate that the approach is tractable for a real-world application and that the gap between theoretical upper and a simulated lower bound decreases sufficiently fast.