Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons

James Cruise (), Lisa Flatley (), Richard Gibbens () and Stan Zachary ()
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James Cruise: Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH14 4AS, United Kingdom
Lisa Flatley: Mathematics Institute, University of Warwick, Coventry CV4 7AL, United Kingdom
Richard Gibbens: Computer Laboratory, University of Cambridge, Cambridge CB3 0FD, United Kingdom
Stan Zachary: Department of Actuarial Mathematics and Statistics, Heriot-Watt University, Edinburgh EH14 4AS, United Kingdom

Operations Research, 2019, vol. 67, issue 1, 1-9

Abstract: We study the control of large-scale energy storage operating in a market. Reoptimization of deterministic models is a common pragmatic approach when prices are stochastic. We apply Lagrangian theory to develop such a model and to establish decision and forecast horizons when storage trading affects these prices, an important aspect of some energy markets. The determination of these horizons also provides a simple and efficient algorithm for the determination of the optimal control. The forecast horizons vary between one and 15 days in realistic electricity storage examples. These examples suggest that modeling price impact is important.

Keywords: control; storage; arbitrage; energy (search for similar items in EconPapers)
Date: 2019
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Citations: View citations in EconPapers (7)

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