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Optimal strategies for operating energy storage in an arbitrage market
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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 (Unpublished)
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Official URL: http://www2.warwick.ac.uk/fac/soc/economics/resear...
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) | ||||
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| Subjects: | H Social Sciences > HD Industries. Land use. Labor | ||||
| Divisions: | Faculty of Social Sciences > Economics Faculty of Science, Engineering and Medicine > Science > Mathematics |
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| 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: |
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| 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| Status: | Not Peer Reviewed | ||||
| Publication Status: | Unpublished | ||||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 (Creative Commons) | ||||
| Date of first compliant deposit: | 28 July 2016 | ||||
| Date of first compliant Open Access: | 28 July 2016 | ||||
| Funder: | Engineering and Physical Sciences Research Council (EPSRC), Alfred P. Sloan Foundation | ||||
| Grant number: | EP/K002228/1 (EPSRC) |
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