Flatley, Lisa, MacKay, Robert S. and Waterson, Michael (2014) Optimal strategies for operating energy storage in an arbitrage market. Working Paper. Coventry: University of Warwick. Department of Economics. Warwick economics research papers series (TWERPS), Volume 2014 (Number 1048). (Unpublished)

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Abstract

We characterise profit-maximising operating strategies, over some time horizon, for an energy store which is trading in an arbitrage market. Our theory allows for leakage, operating inefficiencies and general cost functions. In the special case where the operating cost of a store depends only on its instantaneous power ouput (or input), we present an algorithm to determine the optimal strategies. A key feature is that this algorithm is localised in time, in the sense that the action of the store at a time only requires information about electricity prices over some subinterval of time.

Item Type:	Working or Discussion Paper (Working Paper)
Subjects:	H Social Sciences > HD Industries. Land use. Labor
Divisions:	Faculty of Social Sciences > Economics Faculty of Science > Mathematics
Library of Congress Subject Headings (LCSH):	Energy industries -- Econometric models, Energy storage -- Econometric models
Series Name:	Warwick economics research papers series (TWERPS)
Publisher:	University of Warwick. Department of Economics
Place of Publication:	Coventry
Official Date:	June 2014
Dates:	Date Event June 2014 Available
Volume:	Volume 2014
Number:	Number 1048
Number of Pages:	17
Institution:	University of Warwick
Status:	Not Peer Reviewed
Publication Status:	Unpublished
Access rights to Published version:	Open Access
Funder:	Engineering and Physical Sciences Research Council (EPSRC), Alfred P. Sloan Foundation
Grant number:	EP/K002228/1 (EPSRC)

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