Year: 2025
Type: preprint
Abstract: This paper applies computational techniques of convex stochastic optimization to optimal operation and valuation of electricity storages in the face of uncertain electricity prices. Our approach is applicable to various specifications of storages, and it allows for e.g.\ hard constraints on storage capacity and charging speed. Our valuations are based on the indifference pricing principle, which builds on optimal trading strategies and calibrates to the user's initial position, market views and risk preferences. We illustrate the effects of storage capacity and charging speed by numerically computing the valuations using stochastic dual dynamic programming.
Source: arXiv (Cornell University)
Authors: Chancelier, Jean-Philippe, De Lara, Michel, Pacaud, François, Pennanen, Teemu, Perkkiö, Ari-Pekka
Language: English
Subfield: Electrical and Electronic Engineering
Field: Engineering
Domain: Physical Sciences
Open Access status: green
OpenAlex ID: W6979237348
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