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Mean-Variance Optimization-Based Energy Storage Scheduling Considering Day-Ahead and Real-Time LMP Uncertainties

Journal Article · · IEEE Transactions on Power Systems
 [1];  [1];  [2];  [3];  [3]
  1. National Renewable Energy Lab. (NREL), Golden, CO (United States)
  2. ABB Inc., Raleigh, NC (United States)
  3. Univ. of Tennessee, Knoxville, TN (United States)
+ Show Author Affiliations

In this letter, a new mean-variance optimization-based energy storage scheduling method is proposed with the consideration of both day-ahead (DA) and real-time (RT) energy markets price uncertainties. It considers the locational marginal price (LMP) forecast uncertainties in the DA and RT markets. The energy storage arbitrage risk associated with the LMP forecast uncertainty is explicitly modeled through the variance component in the objective function. The quadratic term of this variance is transformed into a second-order cone constraint using the charging and discharging power complementarity of the energy storage system. Finally, the proposed model is formulated as a mixed-integer conic programming problem. Numerical case studies demonstrate the effectiveness of the proposed model for energy storage scheduling considering price uncertainty.

Research Organization:
National Renewable Energy Laboratory (NREL), Golden, CO (United States)
Sponsoring Organization:
USDOE Office of Energy Efficiency and Renewable Energy (EERE), Wind and Water Technologies Office (EE-4W)
Grant/Contract Number:
AC36-08GO28308
OSTI ID:
1465652
Report Number(s):
NREL/JA--5D00-70325
Journal Information:
IEEE Transactions on Power Systems, Journal Name: IEEE Transactions on Power Systems Journal Issue: 6 Vol. 33; ISSN 0885-8950
Publisher:
IEEECopyright Statement
Country of Publication:
United States
Language:
English

Figures / Tables (5)

Table 1(p. 2)table Table 1
Figure 1(p. 3)figure Figure 1
Figure 2(p. 3)figure Figure 2
Figure 3(p. 3)figure Figure 3
Table 2(p. 3)table Table 2

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Related Subjects

25 ENERGY STORAGE
29 ENERGY PLANNING, POLICY, AND ECONOMY
electricity market
energy storage
locational marginal price (LMP)
mixed-integer conic programming (MICP)
second-order cone programming (SOCP)