Optimal Energy Commitments with Storage and Intermittent Supply

Jae Ho Kim () and Warren B. Powell ()
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Jae Ho Kim: Department of Electrical Engineering, Princeton University, Princeton, New Jersey 08540
Warren B. Powell: Department of Operations Research and Financial Engineering, Princeton University, Princeton, New Jersey 08540

Operations Research, 2011, vol. 59, issue 6, 1347-1360

Abstract: 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.

Keywords: Markov decision process; dynamic programming; energy (search for similar items in EconPapers)
Date: 2011
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Citations: View citations in EconPapers (48)

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