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Robust self-scheduling of a price-maker energy storage facility in the New York electricity market

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  • Barbry, Adrien
  • Anjos, Miguel F.
  • Delage, Erick
  • Schell, Kristen R.

Abstract

Recent progress in energy storage raises the possibility of creating large-scale storage facilities at lower costs. This may bring economic opportunities for storage operators, especially via energy arbitrage. However, storage operation in the market could have a noticeable impact on electricity prices. This work aims at evaluating jointly the potential operating profit for a price-maker storage facility and its impact on the electricity prices in the New York state market. Based on historical data, lower and upper bounds on the supply curve of the market are constructed. These bounds are used as an input for the robust self-scheduling problem of a price-maker storage facility. Our computational experiments show that the robust strategies thus obtained allow to reduce significantly the loss exposure while maintaining reasonably high expected profits.

Suggested Citation

  • Barbry, Adrien & Anjos, Miguel F. & Delage, Erick & Schell, Kristen R., 2019. "Robust self-scheduling of a price-maker energy storage facility in the New York electricity market," Energy Economics, Elsevier, vol. 78(C), pages 629-646.
    • Handle: RePEc:eee:eneeco:v:78:y:2019:i:c:p:629-646
    DOI: 10.1016/j.eneco.2018.11.003
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    References listed on IDEAS

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    Cited by:

    1. Chang, Hsiu-Chuan & Ghaddar, Bissan & Nathwani, Jatin, 2022. "Shared community energy storage allocation and optimization," Applied Energy, Elsevier, vol. 318(C).
    2. Guo, Zhongjie & Wei, Wei & Bai, Jiayu & Mei, Shengwei, 2023. "Long-term operation of isolated microgrids with renewables and hybrid seasonal-battery storage," Applied Energy, Elsevier, vol. 349(C).
    3. Mercier, Thomas & Olivier, Mathieu & De Jaeger, Emmanuel, 2023. "The value of electricity storage arbitrage on day-ahead markets across Europe," Energy Economics, Elsevier, vol. 123(C).
    4. Jingyu Qu & Wooyoung Jeon, 2022. "Price and subsidy under uncertainty: Real-option approach to optimal investment decisions on energy storage with solar PV," Energy & Environment, , vol. 33(2), pages 263-282, March.

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    More about this item

    Keywords

    Energy storage; Electricity market; Bidding strategy; Arbitrage; Quantile regression; Robust optimization;
    All these keywords.

    JEL classification:

    • C21 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Cross-Sectional Models; Spatial Models; Treatment Effect Models
    • C44 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods: Special Topics - - - Operations Research; Statistical Decision Theory
    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • P18 - Political Economy and Comparative Economic Systems - - Capitalist Economies - - - Energy; Environment
    • C55 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Large Data Sets: Modeling and Analysis

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