Robust self-scheduling of a price-maker energy storage facility in the New York electricity market

Adrien Barbry, Miguel F. Anjos, Erick Delage and Kristen R. Schell

Energy Economics, 2019, vol. 78, issue C, 629-646

Abstract: Recent progress in energy storage raises the possibility of creating large-scale storage facilities at lower costs. This may bring economic opportunities for storage operators, especially via energy arbitrage. However, storage operation in the market could have a noticeable impact on electricity prices. This work aims at evaluating jointly the potential operating profit for a price-maker storage facility and its impact on the electricity prices in the New York state market. Based on historical data, lower and upper bounds on the supply curve of the market are constructed. These bounds are used as an input for the robust self-scheduling problem of a price-maker storage facility. Our computational experiments show that the robust strategies thus obtained allow to reduce significantly the loss exposure while maintaining reasonably high expected profits.

Keywords: Energy storage; Electricity market; Bidding strategy; Arbitrage; Quantile regression; Robust optimization (search for similar items in EconPapers)
JEL-codes: C21 C44 C55 C61 D81 P18 (search for similar items in EconPapers)
Date: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:eneeco:v:78:y:2019:i:c:p:629-646

DOI: 10.1016/j.eneco.2018.11.003

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