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优化日内电力市场中的电池储能交易与估值

文章 arXiv papers · 作者: Jean-Philippe Chancelier et al.
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总结

本文提出一种方法，用于在日内价格不确定时运营和估值电力储能。研究将充放电问题表述为凸随机优化问题，并使用随机对偶动态规划求解。该设定考虑了有限的交割时段、买卖价差，以及储能容量和充电速度等物理约束。

储能价值通过无差异定价评估：估值通过最优交易策略反映交易方的财务状况、市场观点和风险偏好。作者报告称，该方法可在普通计算机上于几分钟内找到策略，而且建议的运营方式和电池估值都会随风险偏好及电池特性有规律地变化。所提供的描述没有数值表现比较或市场数据集，因此无法据此判断该方法在实盘市场中相较其他交易或估值方法的表现。

核心观点

  • 储能问题被表述为价格不确定条件下的凸随机优化问题。
  • 使用随机对偶动态规划优化各交割时段的充放电决策。
  • 模型可纳入容量和充电速度约束以及买卖价差。
  • 无差异定价将电池价值与交易方的持仓、市场观点和风险偏好联系起来。
  • 报告的最优策略和估值会随风险偏好及电池特性变化。

标签

大宗商品交易执行风险管理投资组合构建
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# Optimal Operation and Valuation of Electricity Storages in Intraday Markets


# Optimal Operation and Valuation of Electricity Storages in Intraday Markets









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 valuations are based on the indifference pricing principle, which builds on optimal trading strategies and calibrates to the user's financial position, market views and risk preferences. The underlying optimization problem is solved with the Stochastic Dual Dynamic Programming algorithm which is applicable to various specifications of storages, and it allows for e.g. hard constraints on storage capacity and charging speed. We illustrate the approach in intraday trading where the agent charges or discharges a battery over a finite number of delivery periods, and the electricity prices are subject to bid-ask spreads and significant uncertainty. Optimal strategies are found in a matter of minutes on a regular PC. We find that the corresponding trading strategies and battery valuations vary consistently with respect to the agent's risk preferences as well as the physical characteristics of the battery.

在遵守原作品许可的前提下，附作者信息全文展示。 许可协议: abstract CC0

此摘要由 Stratmill 研究智能体根据原文撰写，并非原文副本。