Optimal Hour-Ahead Bidding in the Real-Time Electricity Market with Battery Storage Using Approximate Dynamic Programming
Published Online:25 Aug 2015https://doi.org/10.1287/ijoc.2015.0640
References
- (2013) The energetic implications of curtailing versus storing solar- and wind-generated electricity. Energy Environ. Sci. 6(10):2804–2810.Crossref, Google Scholar
- (1957) Dynamic Programming (Princeton University Press, Princeton, NJ).Google Scholar
- (1996) Neuro-Dynamic Programming (Athena Scientific, Belmont, MA).Google Scholar
- (1992) Probability (Society of Industrial and Applied Mathematics, Philadelphia).Crossref, Google Scholar
- (2012) Estimating the maximum potential revenue for grid connected electricity storage: Arbitrage and regulation. Technical report SAND2012-3863, Sandia National Laboratories, Albuquerque, NM.Google Scholar
- (2014) A survey of commodity markets and structural models for electricity prices. Benth FE, Kholodnyi VA, Laurence P, eds. Quantitative Energy Finance (Springer, New York), 41–83.Crossref, Google Scholar
- (2010) Valuation of energy storage: An optimal switching approach. Quant. Finance 10(4):359–374.Crossref, Google Scholar
- (2005) Pricing in electricity markets: A mean reverting jump diffusion model with seasonality. Appl. Math. Finance 12(4):313–335.Crossref, Google Scholar
- (2002) Price-taker bidding strategy under price uncertainty. IEEE Trans. Power Systems 17(4):1081–1088.Crossref, Google Scholar
- (2013) A model for hedging load and price risk in the Texas electricity market. Energy Econom. 40:976–988.Crossref, Google Scholar
- (1993) Competitive bidding in electricity supply. Generation Transm. Distrib. IEE Proc. C 140(5):421–426.Crossref, Google Scholar
- (2003) Energy and Power Risk Management (Wiley, Hoboken, NJ).Google Scholar
- (2006) Adaptive stepsizes for recursive estimation with applications in approximate dynamic programming. Machine Learn. 65(1):167–198.Crossref, Google Scholar
- (2001) An adaptive, distribution-free algorithm for the newsvendor problem with censored demands, with applications to inventory and distribution. Management Sci. 47(8):1101–1112.Link, Google Scholar
- (2007) Baseload wind energy: Modeling the competition between gas turbines and compressed air energy storage for supplemental generation. Energy Policy 35(3):1474–1492.Crossref, Google Scholar
- (2000) Generation supply bidding in perfectly competitive electricity markets. Comput. Math. Organ. Theory 6(1):83–98.Crossref, Google Scholar
- (2011) Electricity Markets: Pricing, Structures and Economics (John Wiley & Sons, Chichester, UK).Google Scholar
- (2015) An approximate dynamic programming algorithm for monotone value functions. Available at http://arxiv.org/abs/1401.1590.Google Scholar
- (2011) Optimal energy commitments with storage and intermittent supply. Oper. Res. 59(6):1347–1360.Link, Google Scholar
- (2002) The sample average approximation method for stochastic discrete optimization. SIAM J. Optim. 12(2):479–502.Crossref, Google Scholar
- (2010) An approximate dynamic programming approach to benchmark practice-based heuristics for natural gas storage valuation. Oper. Res. 58(3):564–582.Link, Google Scholar
- (2010) Optimal day-ahead trading and storage of renewable energies: An approximate dynamic programming approach. Energy Systems 1(1):61–77.Crossref, Google Scholar
- (2013) Optimizing trading decisions for hydro storage systems using approximate dual dynamic programming. Oper. Res. 61(4):810–823.Link, Google Scholar
- (2007) Dynamic Programming Based Operation of Reservoirs: Applicability and Limits (Cambridge University Press, New York).Crossref, Google Scholar
- (2009) An optimal approximate dynamic programming algorithm for the lagged asset acquisition problem. Math. Oper. Res. 34(1):210–237.Link, Google Scholar
- (2005) Effect of energy storage on variations in wind power. Wind Energy 8(4):421–441.Crossref, Google Scholar
- (2003) An adaptive dynamic programming algorithm for a stochastic multiproduct batch dispatch problem. Naval Res. Logist. 50(7):742–769.Crossref, Google Scholar
- PJM Manual 11: Energy and Ancillary Services Market Operations, http://www.pjm.com/~/media/documents/manuals/m11.ashx, April 2015.Google Scholar
- (2011) Approximate Dynamic Programming: Solving the Curses of Dimensionality, 2nd ed. (Wiley, Hoboken, NJ).Crossref, Google Scholar
- (2004) Learning algorithms for separable approximations of discrete stochastic optimization problems. Math. Oper. Res. 29(4):814–836.Link, Google Scholar
- (1997) The stochastic behavior of commodity prices: Implications for valuation and hedging. J. Finance 52(3): 923–973.Crossref, Google Scholar
- (2010) Optimal commodity trading with a capacitated storage asset. Management Sci. 56(3):449–467.Link, Google Scholar
- (2002) Market Operations in Electric Power Systems (John Wiley & Sons, New York).Crossref, Google Scholar
- (2011) Increasing the value of wind with energy storage. Energy J. 32(2):1–29.Crossref, Google Scholar
- (2011) A comparative analysis of the value of pure and hybrid electricity storage. Energy Econom. 33(1):56–66.Crossref, Google Scholar
- (2009) Estimating the value of electricity storage in PJM: Arbitrage and some welfare effects. Energy Econom. 31(2):269–277.Crossref, Google Scholar
- (2009) Natural gas storage valuation and optimization: A real options application. Naval Res. Logist. 56(3):226–238.Crossref, Google Scholar
- (2003) An algorithm for approximating piecewise linear concave functions from sample gradients. Oper. Res. Lett. 31(1):66–76.Crossref, Google Scholar
- (1994) Asynchronous stochastic approximation and Q-learning. Machine Learn. 16(3):185–202.Crossref, Google Scholar
- (2007) Economics of electric energy storage for energy arbitrage and regulation in New York. Energy Policy 35(4):2558–2568.Crossref, Google Scholar
- (2000) Strategic bidding in competitive electricity markets: A literature survey. Power Engrg. Soc. Summer Meeting, Vol. 4 (IEEE, New York), 2168–2173.Google Scholar
- (2011) Electrochemical energy storage for green grid. Chemical Rev. 111(5):3577–613.Crossref, Google Scholar

