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

Richard James Randon Cruise, Lisa Flatley, Richard J. Gibbens, Stanley Zachary

Research output: Contribution to journalArticle

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.
LanguageEnglish
Pages1-9
Number of pages9
JournalOperations Research
Volume67
Issue number1
DOIs
Publication statusPublished - 15 Jan 2019

Fingerprint

Energy storage
Market impact
Forecast horizon
Energy market
Modeling
Optimal control
Electricity
Price impact

Keywords

  • Arbitrage
  • Control
  • Energy
  • Storage

ASJC Scopus subject areas

  • Computer Science Applications
  • Management Science and Operations Research

Cite this

Cruise, Richard James Randon ; Flatley, Lisa ; Gibbens, Richard J. ; Zachary, Stanley. / Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons. In: Operations Research. 2019 ; Vol. 67, No. 1. pp. 1-9.
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Control of Energy Storage with Market Impact: Lagrangian Approach and Horizons. / Cruise, Richard James Randon; Flatley, Lisa; Gibbens, Richard J.; Zachary, Stanley.

In: Operations Research, Vol. 67, No. 1, 15.01.2019, p. 1-9.

Research output: Contribution to journalArticle

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