Maximum income resulting from energy arbitrage by battery systems subject to cycle aging and price uncertainty from a dynamic programming perspective

This paper describes an approach to compute the maximum value of energy storage systems (ESS) in grid applications under uncertain energy prices. The value obtained is based on an optimal operation (consisting of charge/discharge sequences) of the ESS. In other words, it is the maximum value that ma...

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Veröffentlicht in:Energy (Oxford) Jg. 156; S. 647 - 660
Hauptverfasser: Díaz, Guzmán, Gómez-Aleixandre, Javier, Coto, José, Conejero, Olga
Format: Journal Article
Sprache:Englisch
Veröffentlicht: Elsevier Ltd 01.08.2018
Schlagworte:
algorithms
batteries
Battery aging
Dynamic programming
Economic value
electricity
energy
energy costs
income
markets
Optimization
prices
Stochastic analysis
uncertainty
Battery aging
Stochastic analysis
Economic value
Dynamic programming
Optimization
ISSN:0360-5442
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Zusammenfassung:This paper describes an approach to compute the maximum value of energy storage systems (ESS) in grid applications under uncertain energy prices. The value obtained is based on an optimal operation (consisting of charge/discharge sequences) of the ESS. In other words, it is the maximum value that may be obtained when the ESS charge/discharge sequence is adapted to the expected operational conditions. To obtain that optimal value, this paper describes a dynamic program approach, with the particularity that the switching decisions are optimized considering an uncertain price evolution and a dynamic calculation of the aging cost. A practical implementation of this approach is proposed, in which the problem is conveniently sliced into matrices corresponding to single decisions. It is shown that such an arrangement, combined with shift and re-indexing operators, provides a fast solution to the optimization problem consisting of a huge number of decision evaluations. The algorithm is then applied to a number of European electricity markets, with a particular focus on arbitrage. The particularities of the algorithm solutions are analyzed, and it is shown that not considering the imperfect foresight and the aging impacts leads to considerable errors in valuing an ESS. •We describe a stochastic dynamic program to value energy storage in grid applications.•It finds the optimal charge/discharge that balances trade benefits and storage aging.•Aging cost is considered ex-ante, at the time of valuing the charge/discharge decision.•Also imperfect future payoff foresight is modeled prior to optimizing each decision.•Applied to European electricity markets, it shows a necessary use of aging in valuing.
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ISSN:0360-5442
DOI:10.1016/j.energy.2018.05.122