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A Computational Approach to Sequential Decision Optimization in Energy Storage and Trading

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  • Paolo Falbo

    (Department of Economics and Management, University of Brescia, 25122 Brescia, Italy)

  • Juri Hinz

    (School of Mathematical and Physical Sciences, University of Technology Sydney, P.O. Box 123, Ultimo, NSW 2007, Australia)

  • Piyachat Leelasilapasart

    (School of Mathematical and Physical Sciences, University of Technology Sydney, P.O. Box 123, Ultimo, NSW 2007, Australia)

  • Cristian Pelizzari

    (Department of Economics and Management, University of Brescia, 25122 Brescia, Italy)

Abstract

Due to recent technical progress, battery energy storages are becoming a viable option in the power sector. Their optimal operational management focuses on load shift and shaving of price spikes. However, this requires optimally responding to electricity demand, intermittent generation, and volatile electricity prices. More importantly, such optimization must take into account the so-called deep discharge costs, which have a significant impact on battery lifespan. We present a solution to a class of stochastic optimal control problems associated with these applications. Our numerical techniques are based on efficient algorithms which deliver a guaranteed accuracy.

Suggested Citation

  • Paolo Falbo & Juri Hinz & Piyachat Leelasilapasart & Cristian Pelizzari, 2021. "A Computational Approach to Sequential Decision Optimization in Energy Storage and Trading," JRFM, MDPI, vol. 14(6), pages 1-22, May.
    • Handle: RePEc:gam:jjrfmx:v:14:y:2021:i:6:p:235-:d:561055
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    References listed on IDEAS

    as
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