On the Economic Value and Price-Responsiveness of Ramp-Constrained Storage
On the Economic Value and Price-Responsiveness of Ramp-Constrained Storage
复制标题
关于斜坡受限存储的经济价值和价格响应性
DOI：
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发表时间：
2012
期刊：
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通讯作者：
M. Dahleh
中科院分区：
文献类型：
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作者：
A. Faghih;Mardavij Roozbehani;M. Dahleh
本文的主要关注点是两个方面：了解存在斜坡约束和外生电价的存储的经济价值，并了解相关的最优存储管理政策对存储响应实时价格的定性和定量特征的影响。我们提出了一个分析表征的最优策略，沿着与相关的有限时间内的时间平均值的存储。我们还推导出一个分析上限的无限地平线的时间平均值的存储。这个界限是有效的任何可实现的价格时，支持的分布是固定的，并突出了斜坡约束和存储容量的存储价值的依赖。虽然存储的价值是价格波动的非递减函数，但由于有限的斜坡率，存储的价值随着容量的增加而迅速饱和，而不管波动如何。为了研究最优策略的含义，我们首先提出了计算实验，表明存储的最优利用率可以在预期中在平均价格附近引起相当大的价格弹性，但距离它很小或没有弹性。然后，我们提出了一个计算框架，用于理解作为价格和存储能量的量的函数的存储行为，并用于表征价格状态平面中的买入/卖出相变区域。最后，我们研究了基于市场的存储操作所需的储备的影响，并表明，储备可能需要扩大，以适应基于市场的存储。
The primary concerns of this paper are twofold: to understand the economic value of storage in the presence of ramp constraints and exogenous electricity prices, and to understand the implications of the associated optimal storage management policy on qualitative and quantitative characteristics of storage response to real-time prices. We present an analytic characterization of the optimal policy, along with the associated finite-horizon time-averaged value of storage. We also derive an analytical upperbound on the infinite-horizon time-averaged value of storage. This bound is valid for any achievable realization of prices when the support of the distribution is fixed, and highlights the dependence of the value of storage on ramp constraints and storage capacity. While the value of storage is a non-decreasing function of price volatility, due to the finite ramp rate, the value of storage saturates quickly as the capacity increases, regardless of volatility. To study the implications of the optimal policy, we first present computational experiments that suggest that optimal utilization of storage can, in expectation, induce a considerable amount of price elasticity near the average price, but little or no elasticity far from it. We then present a computational framework for understanding the behavior of storage as a function of price and the amount of stored energy, and for characterization of the buy/sell phase transition region in the price-state plane. Finally, we study the impact of market-based operation of storage on the required reserves, and show that the reserves may need to be expanded to accommodate market-based storage.