Optimal energy commitments with storage and intermittent supply

Jae Ho Kim; Warren Buckler Powell

doi:10.1287/opre.1110.0971

Optimal energy commitments with storage and intermittent supply

Jae Ho Kim, Warren Buckler Powell

Research output: Contribution to journal › Article › peer-review

129 Scopus citations

Abstract

We formulate and solve the problem of making advance energy commitments for wind farms in the presence of a storage device with conversion losses, mean-reverting price process, and an autoregressive energy generation process from wind. We derive an optimal commitment policy under the assumption that wind energy is uniformly distributed. Then, the stationary distribution of the storage level corresponding to the optimal policy is obtained, from which the economic value of the storage as the relative increase in the expected revenue due to the existence of storage is obtained.

Original language	English (US)
Pages (from-to)	1347-1360
Number of pages	14
Journal	Operations Research
Volume	59
Issue number	6
DOIs	https://doi.org/10.1287/opre.1110.0971
State	Published - Nov 2011

All Science Journal Classification (ASJC) codes

Computer Science Applications
Management Science and Operations Research

Keywords

Dynamic programming
Energy
Markov decision process

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10.1287/opre.1110.0971

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AB - We formulate and solve the problem of making advance energy commitments for wind farms in the presence of a storage device with conversion losses, mean-reverting price process, and an autoregressive energy generation process from wind. We derive an optimal commitment policy under the assumption that wind energy is uniformly distributed. Then, the stationary distribution of the storage level corresponding to the optimal policy is obtained, from which the economic value of the storage as the relative increase in the expected revenue due to the existence of storage is obtained.

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Optimal energy commitments with storage and intermittent supply

Abstract

All Science Journal Classification (ASJC) codes

Keywords

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