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Optimal management of a wind power plant with storage capacity

Author

Listed:
  • Jérôme Collet

    (EDF - EDF)

  • Olivier Féron

    (EDF R&D MMC - Matériaux et Mécanique des Composants - EDF R&D - EDF R&D - EDF - EDF)

  • Peter Tankov

    (CREST - Centre de Recherche en Économie et Statistique - ENSAI - Ecole Nationale de la Statistique et de l'Analyse de l'Information [Bruz] - X - École polytechnique - IP Paris - Institut Polytechnique de Paris - ENSAE Paris - École Nationale de la Statistique et de l'Administration Économique - CNRS - Centre National de la Recherche Scientifique)

Abstract

We consider the problem of a wind producer who has access to the spot and intraday electricity markets and has the possibility of partially storing the produced energy using a battery storage facility. The aim of the producer is to maximize the expected gain of selling in the market the energy produced during a 24-hour period. We propose and calibrate statistical models for the power production and the intraday electricity price, and compute the optimal strategy of the producer via dynamic programming.

Suggested Citation

  • Jérôme Collet & Olivier Féron & Peter Tankov, 2017. "Optimal management of a wind power plant with storage capacity," Working Papers hal-01627593, HAL.
    • Handle: RePEc:hal:wpaper:hal-01627593
    Note: View the original document on HAL open archive server: https://hal.science/hal-01627593
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    References listed on IDEAS

    as
    1. Kiesel, Rüdiger & Paraschiv, Florentina, 2017. "Econometric analysis of 15-minute intraday electricity prices," Energy Economics, Elsevier, vol. 64(C), pages 77-90.
    2. René Aïd & P. Gruet & H. Pham, 2016. "An optimal trading problem in intraday electricity markets," Post-Print hal-01609481, HAL.
    3. Garnier, Ernesto & Madlener, Reinhard, 2014. "Balancing Forecast Errors in Continuous-Trade Intraday Markets," FCN Working Papers 2/2014, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    wind power generation; battery storage; intraday electricity market; stochastic control;
    All these keywords.

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