Related papers: Valuation of electricity storage contracts using t…
We present the closed-form solution to the problem of hedging price and quantity risks for energy retailers (ER), using financial instruments based on electricity price and weather indexes. Our model considers an ER who is intermediary in a…
With increasingly favorable economics and bundling of different grid services, energy storage systems (ESS) are expected to play a key role in integrating renewable generation. This work considers the coordination of ESS owned by customers…
Time-of-use (ToU) pricing is widely used by the electricity utility to shave peak load. Such a pricing scheme provides users with incentives to invest in behind-the-meter energy storage and to shift peak load towards low-price intervals.…
The ambitious targets for renewable energy penetration warrant huge flexibility in the power system. Such flexibility does not come free. In this paper, we examine the possibility of utilizing storage systems for achieving high renewable…
This paper develops a coupled model for day-ahead electricity prices and average daily temperature which allows to model quanto weather and energy derivatives. These products have gained on popularity as they enable to hedge against both…
Dispatchability of renewable energy sources and inflexible loads can be achieved using a volatility-compensating energy storage. However, as the future power outputs of the inflexible devices are uncertain, the computation of a dispatch…
Sharing economy has become a socio-economic trend in transportation and housing sectors. It develops business models leveraging underutilized resources. Like those sectors, power grid is also becoming smarter with many flexible resources,…
Arbitrage is one important revenue source for energy storage in electricity markets. However, a large amount of storage in the market will impact the energy price and reduce potential revenues. This can lead to strategic behaviors of…
The application of the flow tracing method to power flows in and out of storage units allows to analyse the usage of this technology option in large-scale interconnected electricity systems. We apply this method to a data-driven model of…
We characterize profit-maximizing operating strategies, over some time horizon [0,T], for an energy store which is trading in an arbitrage market. Our theory allows for leakage, operating inefficiencies, operating constraints and general…
Grid-connected hybrid renewable power systems with energy storage can reduce the intermittency of renewable power supply. However, emerging energy storage technologies need improvement to compete with lithium-ion batteries and reduce the…
This paper concerns the design of a Fourier based pseudospectral numerical method for the model of European Option Pricing with transaction costs under Exponential Utility derived by Davis, Panas and Zariphopoulou. Computing the option…
The central question we seek to address in this paper is: How rapidly do the operating cost benefits of grid-scale energy storage decline as installed storage capacity increases? We use a 240-bus model based on the US Western…
Electricity market operators worldwide use mixed-integer linear programming to solve the allocation problem in wholesale electricity markets. Prices are typically determined based on the duals of relaxed versions of this optimization…
Electricity distribution networks that contain large photovoltaic solar systems can experience power flows between customers. These may create both technical and socio-economic challenges. This paper establishes how these challenges can be…
Efficiently accommodating uncertain renewable resources in wholesale electricity markets is among the foremost priorities of market regulators in the US, UK and EU nations. However, existing deterministic market designs fail to internalize…
To enable an efficient electricity market, a good pricing scheme is of vital importance. Among many practical schemes, customized pricing is commonly believed to be able to best exploit the flexibility in the demand side. However, due to…
This paper introduces a novel decision-focused framework for energy storage arbitrage bidding. Inspired by the bidding process for energy storage in electricity markets, we propose a predict-then-bid end-to-end method incorporating the…
Coordination of distributed energy resources is critical for electricity grid management. Although nodal pricing schemes can mitigate congestion and voltage deviations, the resulting prices are not necessarily equitable. In this work, we…
Sharing economy is a transformative socio-economic phenomenon built around the idea of sharing underused resources and services, e.g. transportation and housing, thereby reducing costs and extracting value. Anticipating continued reduction…