Price-based unit commitment electricity storage arbitrage with piecewise linear price-effects

Abstract

Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Electricity storage plants can be used for many applications, with one of the most studied applications being arbitrage in the day-ahead market. Terms of use: Documents inAlthough the arbitrage value is related to the presence of price spreads, it also depends on the effect of (dis)charge actions on prices, as arbitrage generally reduces price spreads by increasing off-peak prices when charging and decreasing peak prices when discharging. As such, there are two important assumptions in price-based unit commitment arbitrage models: first, whether the storage operator is assumed to have perfect knowledge of future prices, and second, whether they recognize that their (dis)charge actions may affect those prices, i.e., the price-taking or pricemaking assumption. This article proposes a comprehensive formulation of the arbitrage problem including detailed operating constraints, and focuses on relaxing the price-taking assumption by considering real-world price-effect data, published in the form of hourly piecewise linear relationships between quantity and price based on submitted bids, which are referred to as "market resilience functions". These can be used to (1) evaluate the price-taking and price-making assumptions based on simplified price-effects, and to (2) provide an upper limit to the arbitrage value under the assumption that prices and price-effects are known at the decision stage. In addition, a stepwise approximation to the piecewise linear functions is developed to reduce computation time, i.e., from mixed-integer nonconvex quadratic programming to mixed-integer linear programming, while providing lower-and upper bound approximations to the arbitrage value. The developed models are applied to the Belgian day-ahead market for 2014, and show that the price-effect has a strong impact on the operation and arbitrage value of large-scale storage.

Effect of Different Interval Lengths in a Rolling Horizon MILP Unit Commitment with Non-Linear Control Model for a Small Energy System

“…To adjust for non-linear behaviour of the system [20,21] did a piecewise linearisation of the price-effects that influenced the objective function. The focus of [21] was the usage of upper-, lowerbound or mean value of the linearised piece from the price function.…”

“…In this case, the UC might need longer forecasting lengths, as their name implies. It should be noted however, that [16,20,21] still adjust their models for non-linearities despite their rather short interval length.…”

Interactions between the design of short-term electricity markets in the CWE region and power system flexibility

“…The ongoing transition towards variable renewable energy sources (RES), i.e., wind turbines and photovoltaic systems, challenges the reliable operation of the power system. Their limited controllability and predictability results in an increasing need for flexibility, i.e., the ability to provide upward and downward power adjustments to compensate for temporary imbalances between generation and consumption [1,2]. At the same time, the flexibility offered by the generation side is threatened by closure of conventional power plants that are currently experiencing decreasing profitability due to lower electricity prices and a limited number of operating hours.…”

“…The acceptance of a block order depends on its bid price and the volume-weighted average DA price in the hours contained in the block. A linked block order is a block order that is part of a set of multiple block orders that have a linked clearing constraint, while an exclusive block order is part of a set of block orders of which, at most, one can be cleared [1,56]. Complex orders allow the implicit inclusion of cost non-convexities and intertemporal links.…”

“…Through the so-called price coupling of regions (PCR) initiative, 23 European countriesSuch explicit auctioning was the basis for managing limited interconnection capacity prior to the establishment of the European market-coupling-based system [1,8,65].…”