Optimal trading of imbalance options for power systems using an energy storage device

DOI10.1016/J.EJOR.2018.09.037MaRDI QIDQ2183301zbMATH OpenOpenAlexFDO

Authors Dávid Zoltán Szabó, Paul Johnson, Peter W. Duck

Publication date 26 May 2020

Published in European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL https://www.research.manchester.ac.uk/portal/en/publications/optimal-trading-of-imbalance-options-for-power-systems-using-an-energy-storage-device(a0394d10-dcac-4c80-98b3-4fc021f9a964).html

zbMATH Keywords

electric energy storage systemsoptimal energy storage control policiesOR in energypower system balancingreal option

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Dynamic programming (90C39) Economic models of real-world systems (e.g., electricity markets, etc.) (91B74) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• Efficiency and marginal cost pricing in dynamic competitive markets with friction
• Electric load forecasting methods: tools for decision making
• Electricity swing options: behavioral models and pricing
• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 3921884 (Why is no real title available?)
• Markov Processes, Brownian Motion, and Time Symmetry
• Natural gas storage valuation and optimization: A real options application
• On the solution of general impulse control problems using superharmonic functions
• Optimal Operation and Economic Value of Energy Storage at Consumer Locations
• Pricing in Electricity Markets: A Mean Reverting Jump Diffusion Model with Seasonality
• Pricing of fluctuations in electricity markets
• Real option valuation for reserve capacity
• Real option valuation of a decremental regulation service provided by electricity storage
• Renewable energy investments under different support schemes: a real options approach
• Valuation of energy storage: an optimal switching approach

Cited in

(8)

• Optimizing a production-inventory system under a cost target
• Stochastic optimal switching model for migrating population dynamics
• Optimal strategies for operating energy storage in an arbitrage or smoothing market
• Energy storage operation and electricity market design: on the market power of monopolistic storage operators
• A review of the operations literature on real options in energy
• Adjustable target-oriented robust optimization for inventory management
• New biconvex optimization for planning of battery energy storage systems
• Optimal trading with regime switching: numerical and analytic techniques applied to valuing storage in an electricity balancing market

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