Optimal energy commitments with storage and intermittent supply

Jae Ho Kim, Warren Buckler Powell

Research output: Contribution to journalArticle

91 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 languageEnglish (US)
Pages (from-to)1347-1360
Number of pages14
JournalOperations Research
Volume59
Issue number6
DOIs
StatePublished - Nov 1 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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