Portfolio management of battery storages in multiple electricity markets

被引：14

作者：

Huang, Chenyang ^{[1
]}

Yan, Zheng ^{[1
]}

Chen, Sijie ^{[1
]}

Xu, Xiaoyuan ^{[1
]}

Yang, Su ^{[2
]}

Li, Jing ^{[2
]}

Qu, Haoyuan ^{[2
]}

机构：

[1] Shanghai Jiao Tong Univ, Sch Elect Informat & Elect Engn, Dept Elect Engn, Shanghai, Peoples R China

[2] State Grid Energy Res Inst Co Ltd, Beijing, Peoples R China

来源：

IET GENERATION TRANSMISSION & DISTRIBUTION | 2018年 / 12卷 / 22期

基金：

中国国家自然科学基金;

关键词：

battery storage plants; power generation economics; power markets; risk management; investment; portfolio management model; battery storages; multiple electricity markets; energy market; regulation market; point-to-point obligation market; PTP obligation market; profit maximisation; risk hedging; real market data; degree-of-risk aversion; BIDDING STRATEGIES; ENERGY; DISPATCH; SYSTEMS; ALLOCATION; FTR;

D O I：

10.1049/iet-gtd.2018.6219

中图分类号：

TM [电工技术]; TN [电子技术、通信技术];

学科分类号：

0808 ; 0809 ;

摘要：

A battery storage can diversify its portfolio by participating in the energy market, regulation market, and point-to-point (PTP) obligation market. In order for a battery storage to maximise profits and hedge risks, a portfolio management model that co-optimises a storage's bids in these three markets is proposed. The proposed model is trained and validated by real market data. The performance of the proposed portfolio is compared with the portfolio without consideration of PTP obligation, indicating that the proposed method is effective in risk hedging. Numerical results also show the trade-off between storage's expected profits and risks, which can be useful for a battery storage owner with a certain degree of risk aversion.

引用

页码：6004 / 6010

页数：7

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