Estimating the value of electricity storage in PJM: Arbitrage and some welfare effects

Sioshansi, Ramteen; Denholm, Paul; Jenkin, Thomas; Weiss, Jurgen

doi:10.1016/j.eneco.2008.10.005

Cited by 456 publications

(338 citation statements)

References 6 publications

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“…A large share of the existing PBUC work assumes perfect foresight of future prices and the storage plant to be small enough to be a price-taker in the considered market (e.g., [18][19][20][21][22][23]). Although quite some studies discuss a relaxation of the perfect price foresight assumption (e.g., [16,[24][25][26][27][28][29][30]), less attention has been given to the relaxation of the price-taking assumption in PBUC arbitrage models. However, either large-scale or multiple small-scale storage plants that are operated cooperatively could benefit from considering the price-effect of (dis)charge actions.…”

Section: Scope and Approachmentioning

confidence: 99%

“…The arbitrage application is widely discussed in the literature, both from a system (e.g., [10][11][12][13][14][15]) and from an individual storage plant's PBUC perspective, the latter being the focus of this article. Generally, there are two important assumptions in PBUC arbitrage models: the first is related to the storage operator's assumed knowledge of future prices, i.e., the (im)perfect price foresight assumption, while the second is related to whether they recognize that their (dis)charge actions may affect those prices, i.e., the price-taking or price-making assumption [16,17]. A large share of the existing PBUC work assumes perfect foresight of future prices and the storage plant to be small enough to be a price-taker in the considered market (e.g., [18][19][20][21][22][23]).…”

Section: Scope and Approachmentioning

confidence: 99%

“…Even when deciding on the (dis)charge schedule as a price-taker, considering the price-effect in the ex-post calculation of the realized profit is important for owners of large storage capacities as arbitrage may reduce effective price spreads. First, [16,31] introduce a method to account for this price-effect based on an observed linear relationship between the system load and price. Second, [32] introduces a constant so-called market resilience factor to represent the price-effect of (dis)charge actions.…”

Section: Scope and Approachmentioning

confidence: 99%

“…2a) has been studied extensively in other frameworks (e.g., equilibrium models [37][38][39]), it has only been studied to a limited extent in PBUC electricity storage arbitrage models. First, references [16,31] assume a monthly linear relationship between the price and system load for the DA market in the United States' PJM region, obtained by using ordinary least squares regression. The slope associated with the OLS function is assumed to be non-decreasing and to capture the price-effect of (dis)charge actions (Fig.…”

Section: Literature Reviewmentioning

confidence: 99%

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Price-based unit commitment electricity storage arbitrage with piecewise linear price-effects

Brijs

Geth

Siddiqui

et al. 2016

Journal of Energy Storage

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Standard-Nutzungsbedingungen:Die Dokumente auf EconStor dürfen zu eigenen wissenschaftlichen Zwecken und zum Privatgebrauch gespeichert und kopiert werden.Sie dürfen die Dokumente nicht für öffentliche oder kommerzielle Zwecke vervielfältigen, öffentlich ausstellen, öffentlich zugänglich machen, vertreiben oder anderweitig nutzen.Sofern die Verfasser die Dokumente unter Open-Content-Lizenzen (insbesondere CC-Lizenzen) zur Verfügung gestellt haben sollten, gelten abweichend von diesen Nutzungsbedingungen die in der dort genannten Lizenz gewährten Nutzungsrechte. Electricity storage plants can be used for many applications, with one of the most studied applications being arbitrage in the day-ahead market. Terms of use: Documents inAlthough the arbitrage value is related to the presence of price spreads, it also depends on the effect of (dis)charge actions on prices, as arbitrage generally reduces price spreads by increasing off-peak prices when charging and decreasing peak prices when discharging. As such, there are two important assumptions in price-based unit commitment arbitrage models: first, whether the storage operator is assumed to have perfect knowledge of future prices, and second, whether they recognize that their (dis)charge actions may affect those prices, i.e., the price-taking or pricemaking assumption. This article proposes a comprehensive formulation of the arbitrage problem including detailed operating constraints, and focuses on relaxing the price-taking assumption by considering real-world price-effect data, published in the form of hourly piecewise linear relationships between quantity and price based on submitted bids, which are referred to as "market resilience functions". These can be used to (1) evaluate the price-taking and price-making assumptions based on simplified price-effects, and to (2) provide an upper limit to the arbitrage value under the assumption that prices and price-effects are known at the decision stage. In addition, a stepwise approximation to the piecewise linear functions is developed to reduce computation time, i.e., from mixed-integer nonconvex quadratic programming to mixed-integer linear programming, while providing lower-and upper bound approximations to the arbitrage value. The developed models are applied to the Belgian day-ahead market for 2014, and show that the price-effect has a strong impact on the operation and arbitrage value of large-scale storage.

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Section: Scope and Approachmentioning

confidence: 99%

Section: Scope and Approachmentioning

confidence: 99%

Section: Scope and Approachmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

See 2 more Smart Citations

Price-based unit commitment electricity storage arbitrage with piecewise linear price-effects

Brijs

Geth

Siddiqui

et al. 2016

Journal of Energy Storage

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“…In a purely theoretical framework, the operation of storage is able to decouple the load from the generation, and reduce the electricity cost for consumers (Crampes and Moreaux, 2010;Sioshansi et al, 2009;Weissensteiner et al, 2011). However, this is challenging to explicitly examine, as the electricity price often consists of various elements and the methodology is not uniform through different markets.…”

Section: Introductionmentioning

confidence: 99%

The impact of electricity storage on wholesale electricity prices

Nyamdash

Denny

2013

Energy Policy

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This paper analyzes the impact of electricity storage on the production cost of a power system and the marginal cost of electricity (electricity price) using a unit commitment model. Also real world data has been analyzed to verify the effect of storage operation on the electricity price using econometric techniques. The unit commitment model found that the deployment of a storage system reduces the fuel cost of the power system but increases the average electricity price through its effect on the power system operation. However, the reduction in the production cost was found to be less than the increase in the consumer's cost of electricity resulting in a net increase in costs due to storage. Different storage and CO 2 price scenarios were investigated to study the sensitivity of these results. The regression analysis supports the unit commitment results and finds that the presence of storage increases average wholesale electricity prices for the case study system.

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Hydrogen Energy Storage Systems for Grid and Community Applications

Melaina

Steward

Eichman

et al. 2015

Handbook of Clean Energy Systems

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Hydrogen energy storage systems can provide multiple energy services, including bulk storage for grid support, ancillary services, and distributed energy storage for vehicle refueling or other end uses. Each of these services is reviewed in this article, drawing upon a variety of studies to characterize or quantify each service. The distributed storage discussion elaborates on a case study of distributed PV ‐connected distributed storage to supply hydrogen to fuel cell electric vehicles ( FCEVs ). Cost estimates consider hourly and seasonal prices and demand fluctuations and draw comparisons to distributed PV electricity supply for battery electric vehicles ( BEVs ). The analysis suggests that distributed hydrogen storage systems can be economically competitive with battery electricity storage for vehicles at larger scales.

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Estimating the value of electricity storage in PJM: Arbitrage and some welfare effects

Cited by 456 publications

References 6 publications

Price-based unit commitment electricity storage arbitrage with piecewise linear price-effects

Price-based unit commitment electricity storage arbitrage with piecewise linear price-effects

The impact of electricity storage on wholesale electricity prices

Hydrogen Energy Storage Systems for Grid and Community Applications

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