Optimal control of storage for arbitrage, with applications to energy systems

Richard James Randon Cruise, R. J. Gibbens, S. Zachary

Research output: Chapter in Book/Report/Conference proceedingConference contribution

9 Citations (Scopus)

Abstract

We study the optimal control of storage which is used for arbitrage, i.e. for buying a commodity when it is cheap and selling it when it is expensive. Our particular concern is with the management of energy systems, although the results are generally applicable. We consider a model which may account for nonlinear cost functions, market impact, input and output rate constraints and inefficiencies or losses in the storage process. We develop an algorithm which is maximally efficient in the sense that it incorporates the result that, at each point in time, the optimal management decision depends only a finite, and typically short, time horizon. We give examples related to the management of a real-world system.

Original languageEnglish
Title of host publication2014 48th Annual Conference on Information Sciences and Systems, CISS 2014
PublisherIEEE
DOIs
Publication statusPublished - 1 Jan 2014
Event2014 48th Annual Conference on Information Sciences and Systems - Princeton, NJ, United Kingdom
Duration: 19 Mar 201421 Mar 2014

Conference

Conference2014 48th Annual Conference on Information Sciences and Systems
Abbreviated titleCISS 2014
CountryUnited Kingdom
CityPrinceton, NJ
Period19/03/1421/03/14

ASJC Scopus subject areas

  • Information Systems

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  • Cite this

    Cruise, R. J. R., Gibbens, R. J., & Zachary, S. (2014). Optimal control of storage for arbitrage, with applications to energy systems. In 2014 48th Annual Conference on Information Sciences and Systems, CISS 2014 [6814090] IEEE. https://doi.org/10.1109/CISS.2014.6814090