Optimal Energy Commitments with Storage and Intermittent Supply

• 成果类型: Article
• 署名作者: Kim, Jae Ho; Powell, Warren B.
• 署名单位: Princeton University; Princeton University
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.1110.0971
• 发表日期: 2011
• 页码: 1347-1360
• 关键词: wind power-plants; optimization; operation

摘要

We formulate and solve the problem of making advance energy commitments for wind farms in the presence of a storage device with conversion losses, mean-reverting price process, and an autoregressive energy generation process from wind. We derive an optimal commitment policy under the assumption that wind energy is uniformly distributed. Then, the stationary distribution of the storage level corresponding to the optimal policy is obtained, from which the economic value of the storage as the relative increase in the expected revenue due to the existence of storage is obtained.