IDEAS home Printed from https://ideas.repec.org/p/crs/wpaper/2017-87.html
   My bibliography  Save this paper

Optimal management of a wind power plant with storage capacity

Author

Listed:
  • Jérôme Collet

    () (EDF Lab)

  • Olivier Féron

    () (EDF Lab)

  • Peter Tankov

    () (CREST; ENSAE ParisTech)

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 2017-87, Center for Research in Economics and Statistics.
  • Handle: RePEc:crs:wpaper:2017-87
    as

    Download full text from publisher

    File URL: http://crest.science/RePEc/wpstorage/2017-87.pdf
    File Function: CREST working paper version
    Download Restriction: no

    References listed on IDEAS

    as
    1. René Aïd & P. Gruet & H. Pham, 2016. "An optimal trading problem in intraday electricity markets," Post-Print hal-01609481, HAL.
    2. 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).
    3. Kiesel, Rüdiger & Paraschiv, Florentina, 2017. "Econometric analysis of 15-minute intraday electricity prices," Energy Economics, Elsevier, vol. 64(C), pages 77-90.
    Full references (including those not matched with items on IDEAS)

    More about this item

    Keywords

    wind power generation; battery storage; intraday electricity market; stochastic control;

    NEP fields

    This paper has been announced in the following NEP Reports:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:crs:wpaper:2017-87. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sri Srikandan). General contact details of provider: http://edirc.repec.org/data/crestfr.html .

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.