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

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

doi:10.1109/CISS.2014.6814090

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 proceeding › Conference contribution

10 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 language	English
Title of host publication	2014 48th Annual Conference on Information Sciences and Systems, CISS 2014
Publisher	IEEE
DOIs	https://doi.org/10.1109/CISS.2014.6814090
Publication status	Published - 1 Jan 2014
Event	2014 48th Annual Conference on Information Sciences and Systems - Princeton, NJ, United Kingdom Duration: 19 Mar 2014 → 21 Mar 2014

Conference

Conference	2014 48th Annual Conference on Information Sciences and Systems
Abbreviated title	CISS 2014
Country/Territory	United Kingdom
City	Princeton, NJ
Period	19/03/14 → 21/03/14

ASJC Scopus subject areas

Information Systems

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10.1109/CISS.2014.6814090

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

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.",

author = "Cruise, {Richard James Randon} and Gibbens, {R. J.} and S. Zachary",

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T1 - Optimal control of storage for arbitrage, with applications to energy systems

AU - Cruise, Richard James Randon

AU - Gibbens, R. J.

AU - Zachary, S.

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Y1 - 2014/1/1

N2 - 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.

AB - 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.

U2 - 10.1109/CISS.2014.6814090

DO - 10.1109/CISS.2014.6814090

M3 - Conference contribution

AN - SCOPUS:84901418828

BT - 2014 48th Annual Conference on Information Sciences and Systems, CISS 2014

PB - IEEE

T2 - 2014 48th Annual Conference on Information Sciences and Systems

Y2 - 19 March 2014 through 21 March 2014

ER -

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

Abstract

Conference

ASJC Scopus subject areas

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