Risk-sensitive stochastic optimization for storage operation management

Somayeh Moazeni, Boris Defourny, Amir H. Hajimiragha

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

1 Scopus citations

Abstract

This study concerns charging/discharging management of an energy storage device, integrated with a renewable energy supply to fully serve loads over a finite time horizon. The goal is to minimize the cost (or maximize the revenue) of exchanging energy with the electrical grid. The storage device is defined through conversion and dissipation losses, capacity limitations, and bounds on conversion rates. A general-purpose rolling horizon procedure is developed, with the goal of optimizing a risk functional of the cost distribution. Our computational results suggest that the general-purpose algorithm for our setting retains the qualitative behavior of the exact optimal control strategy, which is established under special assumptions. The value of the general-purpose algorithm is evaluated for both risk-neutral and risk-averse criteria, with notable improvements reported in the study.

Original languageEnglish
Title of host publicationInternational Conference on Smart Energy Grid Engineering, SEGE 2015
ISBN (Electronic)9781467379328
DOIs
StatePublished - 10 Nov 2015
EventInternational Conference on Smart Energy Grid Engineering, SEGE 2015 - Oshawa, Canada
Duration: 17 Aug 201519 Aug 2015

Publication series

NameInternational Conference on Smart Energy Grid Engineering, SEGE 2015

Conference

ConferenceInternational Conference on Smart Energy Grid Engineering, SEGE 2015
Country/TerritoryCanada
CityOshawa
Period17/08/1519/08/15

Keywords

  • Discharges (electric)
  • Dynamic programming
  • Energy storage
  • Optimization
  • Planning
  • Stochastic processes
  • Yttrium

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