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-h 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.
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Acknowledgements
This research was supported by the ANR project FOREWER (ANR-14-CE05-0028). The research of Peter Tankov has also benefited the support of the FIME Research Initiative. We are grateful to N. Girard (Maïa Eolis/Engie Green) and Philippe Vassilopoulos (EPEX Spot) for providing the data used in this study.
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Collet, J., Féron, O., Tankov, P. (2018). Optimal Management of a Wind Power Plant with Storage Capacity. In: Drobinski, P., Mougeot, M., Picard, D., Plougonven, R., Tankov, P. (eds) Renewable Energy: Forecasting and Risk Management. FRM 2017. Springer Proceedings in Mathematics & Statistics, vol 254. Springer, Cham. https://doi.org/10.1007/978-3-319-99052-1_12
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