Risk-sensitive stochastic optimization for storage operation management

Somayeh Moazeni; Boris Defourny; Amir H. Hajimiragha

doi:10.1109/SEGE.2015.7324608

Risk-sensitive stochastic optimization for storage operation management

Somayeh Moazeni
, Boris Defourny
, Amir H. Hajimiragha

School of Business

Lehigh University

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-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 language	English
Title of host publication	International Conference on Smart Energy Grid Engineering, SEGE 2015
ISBN (Electronic)	9781467379328
DOIs	https://doi.org/10.1109/SEGE.2015.7324608
State	Published - 10 Nov 2015
Event	International Conference on Smart Energy Grid Engineering, SEGE 2015 - Oshawa, Canada Duration: 17 Aug 2015 → 19 Aug 2015

Publication series

Name	International Conference on Smart Energy Grid Engineering, SEGE 2015

Conference

Conference	International Conference on Smart Energy Grid Engineering, SEGE 2015
Country/Territory	Canada
City	Oshawa
Period	17/08/15 → 19/08/15

UN SDGs

This output contributes to the following UN Sustainable Development Goals (SDGs)

SDG 7 Affordable and Clean Energy

Keywords

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

Access to Document

10.1109/SEGE.2015.7324608

Cite this

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title = "Risk-sensitive stochastic optimization for storage operation management",

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.",

keywords = "Discharges (electric), Dynamic programming, Energy storage, Optimization, Planning, Stochastic processes, Yttrium",

author = "Somayeh Moazeni and Boris Defourny and Hajimiragha, \{Amir H.\}",

note = "Publisher Copyright: {\textcopyright} 2015 IEEE.; International Conference on Smart Energy Grid Engineering, SEGE 2015 ; Conference date: 17-08-2015 Through 19-08-2015",

year = "2015",

month = nov,

day = "10",

doi = "10.1109/SEGE.2015.7324608",

language = "English",

series = "International Conference on Smart Energy Grid Engineering, SEGE 2015",

booktitle = "International Conference on Smart Energy Grid Engineering, SEGE 2015",

}

Moazeni, S, Defourny, B & Hajimiragha, AH 2015, Risk-sensitive stochastic optimization for storage operation management. in International Conference on Smart Energy Grid Engineering, SEGE 2015., 7324608, International Conference on Smart Energy Grid Engineering, SEGE 2015, International Conference on Smart Energy Grid Engineering, SEGE 2015, Oshawa, Canada, 17/08/15. https://doi.org/10.1109/SEGE.2015.7324608

Risk-sensitive stochastic optimization for storage operation management. / Moazeni, Somayeh; Defourny, Boris; Hajimiragha, Amir H.
International Conference on Smart Energy Grid Engineering, SEGE 2015. 2015. 7324608 (International Conference on Smart Energy Grid Engineering, SEGE 2015).

Research output: Chapter in Book/Report/Conference proceeding › Conference contribution › peer-review

TY - GEN

T1 - Risk-sensitive stochastic optimization for storage operation management

AU - Moazeni, Somayeh

AU - Defourny, Boris

AU - Hajimiragha, Amir H.

PY - 2015/11/10

Y1 - 2015/11/10

N2 - 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.

AB - 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.

KW - Discharges (electric)

KW - Dynamic programming

KW - Energy storage

KW - Optimization

KW - Planning

KW - Stochastic processes

KW - Yttrium

UR - https://www.scopus.com/pages/publications/84961885123

UR - https://www.scopus.com/pages/publications/84961885123#tab=citedBy

U2 - 10.1109/SEGE.2015.7324608

DO - 10.1109/SEGE.2015.7324608

M3 - Conference contribution

AN - SCOPUS:84961885123

T3 - International Conference on Smart Energy Grid Engineering, SEGE 2015

BT - International Conference on Smart Energy Grid Engineering, SEGE 2015

T2 - International Conference on Smart Energy Grid Engineering, SEGE 2015

Y2 - 17 August 2015 through 19 August 2015

ER -

Risk-sensitive stochastic optimization for storage operation management

Abstract

Publication series

Conference

UN SDGs

Keywords

Access to Document

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Cite this