2014/06/13 by James R. Cruise, Lisa Flatley, Cruise, James +6 · 2 citations
Economics, Econometrics and Finance · Engineering · #Economic theories and models #FOS: Mathematics #Optimization and Control (math.OC) #Smart Grid Energy Management #Water resources management and optimization
paper · pdf · doi:10.48550/arxiv.1406.3653
openalex publication_date 2014/06/13 · openalex created_date 2022/10/02 · openalex updated_date 2026/07/28
Large scale electricity storage is set to play an increasingly important role\nin the management of future energy networks. A major aspect of the economics of\nsuch projects is captured in arbitrage, i.e. buying electricity when it is\ncheap and selling it when it is expensive. We consider a mathematical model\nwhich may account for nonlinear---and possibly stochastically evolving---cost\nfunctions, market impact, input and output rate constraints and both\ntime-dependent and time-independent inefficiencies or losses in the storage\nprocess. We develop an algorithm which is maximally efficient in the sense that\nit incorporates the result that, at each point in time, the optimal management\ndecision depends only a finite, and typically short, time horizon. We give\nexamples related to the management of a real-world system. Finally we consider\na model in which the associated costs evolve stochastically in time. Our\nresults are formulated in a perfectly general setting which permits their\napplication to other commodity storage problems.\n