Optimal portfolio design of energy storage devices with financial and physical right market

doi:10.1007/s11708-021-0788-2

Frontiers in Energy

2022, Vol. 16

Issue (1): 95-104 https://doi.org/10.1007/s11708-021-0788-2

本期目录

Optimal portfolio design of energy storage devices with financial and physical right market

Puzhe LAN¹, Dong HAN¹(

), Ruimin ZHANG¹, Xiaoyuan XU², Zheng YAN²

¹. Department of Electrical Engineering, University of Shanghai for Science and Technology, Shanghai 200093, China
². Department of Electrical Engineering, Shanghai Jiao Tong University, Shanghai 200240, China

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Abstract：

With the continuous development of the spot market, in the multi-stage power market environment with the day-ahead market and right market, the study associated with the portfolio of energy storage devices requires that attention should be paid to transmission congestion and power congestion. To maximize the profit of energy storage and avoid the imbalance of power supply and consumption and the risk of node price fluctuation caused by transmission congestion, this paper presents a portfolio strategy of energy storage devices with financial/physical contracts. First, the concepts of financial/physical transmission rights and financial/physical storage rights are proposed. Then, the portfolio models of financial contract and physical contract are established with the conditional value-at-risk to measure the risks. Finally, the portfolio models are verified through the test data of the Pennsylvania-New Jersey-Maryland (PJM) electric power spot market, and the comparison between the risk aversion of portfolios based on financial/physical contract with the portfolio of the market without rights. The simulation results show that the portfolio models proposed in this paper can effectively avoid the risk of market price fluctuations.

Key words： portfolio node price fluctuation transmission right energy storage right risk aversion

收稿日期: 2021-01-28 出版日期: 2022-03-30

Corresponding Author(s): Dong HAN

引用本文:

. [J]. Frontiers in Energy, 2022, 16(1): 95-104.
Puzhe LAN, Dong HAN, Ruimin ZHANG, Xiaoyuan XU, Zheng YAN. Optimal portfolio design of energy storage devices with financial and physical right market. Front. Energy, 2022, 16(1): 95-104.

链接本文:

https://academic.hep.com.cn/fie/CN/10.1007/s11708-021-0788-2
https://academic.hep.com.cn/fie/CN/Y2022/V16/I1/95

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$s ∈ S$	Set of market price scenarios
$t ∈ T$	Set of simulation time slots
$i ∈ I$	Set of storage profits under each price scenario
c_C	Congestion cost
P_T	Electrical trading volume through congestion branch
l_T	Locational marginal price for injection node
l_S	Locational marginal price for load node
c_P	Power congestion cost
P_S	Power generation and consumption
F	Expected profit set of energy storage in some power trading days
$φ ∈ [0,1]$	Risk weighting parameter
CVaR_α(F)	CVaR of profits
$α ∈ [0 .9,0 .99]$	Confidential level
CVaR_α(X)	CVaR of expected profits
$F t (*)$	Expected profit of the day-ahead market
c₀	Operation cost per
$l t,() ()$	Actual marginal price in period t
$P t (*)$	Purchased number in period t
P_max	Maximum input/output power
$P m a x (*)$	Maximum purchase quantity
P_dis	Energy storage input power
P_cha	Energy storage output power
E_t	Storage capacity at time t
E_max	Maximum storage capacity
E₀	Initial storage capacity
λ	Charging and discharging efficiency of storage
γ	Normal distribution parameter
ε	Normal distribution parameter
E_{24+ 1}	Storage capacity at the beginning of the next operation day.
E_initial	The initial state of energy storage capacity
$P t, (*)$	Bidding or offering in the right market at time t
T^h	Time duration of the transaction of storage
MW	The capacity of energy storage
MWh	Power consumption of energy storage
Superscript
DA	Day-ahead market
RT	Real-time market
out	Discharge
in	Charge
gen	Clearing price at the source node
load	Clearing price at the load node

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