Related papers: Valuation of electricity storage contracts using t…
A real-coded genetic algorithm is used to schedule the charging of an energy storage system (ESS), operated in tandem with renewable power by an electricity consumer who is subject to time-of-use pricing and a demand charge. Simulations…
In this letter, we address the problem of controlling energy storage systems (ESSs) for arbitrage in real-time electricity markets under price uncertainty. We first formulate this problem as a Markov decision process, and then develop a…
Energy storage resources must consider both price uncertainties and their physical operating characteristics when participating in wholesale electricity markets. This is a challenging problem as electricity prices are highly volatile, and…
Large scale electricity storage is set to play an increasingly important role in the management of future energy networks. A major aspect of the economics of such projects is captured in arbitrage, i.e. buying electricity when it is cheap…
Electricity storage is used for intertemporal price arbitrage and for ancillary services that balance unforeseen supply and demand fluctuations via frequency regulation. We present an optimization model that computes bids for both arbitrage…
We derive the price of a spread option based on two assets which follow a bivariate volatility modulated Volterra process dynamics. Such a price dynamics is particularly relevant in energy markets, modelling for example the spot price of…
In this paper, we propose a complete modelling framework to value several batteries in the electricity intraday market at the trading session scale. The model consists of a stochastic model for the 24 mid-prices (one price per delivery…
Renewable energy brings huge uncertainties to the power system, which challenges the traditional power system operation with limited flexible resources. One promising solution is to introduce dynamic pricing to more consumers, which, if…
We present a multivariate stochastic volatility model with leverage, which is flexible enough to recapture the individual dynamics as well as the interdependencies between several assets while still being highly analytically tractable.…
We study how storage, operating as a price maker within a market environment, may be optimally operated over an extended period of time. The optimality criterion may be the maximisation of the profit of the storage itself, where this profit…
Energy storage promotes the integration of renewables by operating with charge and discharge policies that balance an intermittent power supply. A key challenge in this emerging sector is how to optimize the operation of storage assets…
This paper considers the representation of energy storage in electricity sector capacity planning models. The incorporation of storage in long-term systems models of this type is increasingly relevant as the cost of storage technologies,…
Sharing economy has disrupted many industries. We foresee that electricity storage systems could be the enabler for sharing economy in electricity sector, though its implementation is a delicate task. Unlike in the 2-tier Time-of-Use (ToU)…
In this study, an optimization problem is proposed in order to obtain the maximum economic benefit from wind farms with variable and intermittent energy generation in the day ahead and balancing electricity markets. This method, which is…
This paper presents models for renewable energy systems with storage, and considers its optimal operation. We model and simulate wind and solar power production using stochastic differential equations as well as storage of the produced…
Increasing wind turbines (WT) penetration and low carbon demand can potentially lead to two different flow peaks, generation and load, within distribution networks. This will not only constrain WT penetration but also pose serious threats…
The decreasing cost of energy storage technologies coupled with their potential to bring significant benefits to electric power networks have kindled research efforts to design both market and regulatory frameworks to facilitate the…
As variable renewable energy increases and more demand is electrified, we expect price formation in wholesale electricity markets to transition from being dominated by fossil fuel generators to being dominated by the opportunity costs of…
In this paper, we address an optimal management problem of community energy storage in the real-time electricity market under a stochastic renewable environment. In a real-time electricity market, complete market information may not be…
Recently, the volatility associated with marginal prices has increased due to large scale integration of renewable generation. Price volatility is undesirable from a consumer perspective. To address this issue, we present a framework for…