| Title |
A Study on Optimal Operations of an Energy Storage System by Using the Multi-Stage Stochastic Optimization and Progressive Hedging Algorithm |
| Authors |
손승우(Seungwoo Son) ; 정계명(Kyemyung Jung) ; 김기수(Gi Soo Kim) ; 이두희(Duehee Lee) |
| DOI |
https://doi.org/10.5370/KIEE.2019.68.12.1542 |
| Keywords |
Multi-stage stochastic optimization; Progressive hedging algorithm; Energy market; Energy storage system; Battery arbitrage |
| Abstract |
We propose an optimal operation strategy for energy storage system (ESS) owners in the virtual hour-ahead (HA) electricity market by solving the multi-stage stochastic optimization (MSSO) model, which can find the most profitable decisions for step-wise operations while considering uncertain situations. For example, the owners can maximize their profits by charging the ESS when the electricity price is low and discharging the ESS when the electricity price is high in response to fluctuating hourly electricity prices.
In this process, the ESS requires step-wise decisions since the current decision on the ESS depends on the current charged energy, which also depends on previous decisions. The MSSO model can determine the optimal step-wise decisions by considering subsequent ESS operations based on many possible future electricity price scenarios. Simultaneously, a progressive hedging algorithm (PHA) is proposed to quickly and efficiently solve the problem of the MSSO model with many scenarios by decomposing the problem into subproblems for each scenario and solving subproblems in parallel. Finally, we verify that the four-stage stochastic optimization model results in higher profits in the HA electricity market than deterministic multi-stage and two-stage stochastic optimization models. |