Stability, Approximation, and Decomposition in Two- and Multistage Stochastic Programming

Küchler, Christian

doi:10.1007/978-3-8348-9399-4

Cited by 3 publications

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“…What we are interested in is to produce scenarios that approximate wind behaviour, based on existing literature, so as to get a reasonable scenario framework to estimate the value of electricity storage. In the literature, Weber et al (2009) andKüchler (2009) used a similar multi-stage approach to model wind speeds with an ARMA time-series. For instance, the left-hand picture in Fig.…”

Section: Characterization Of Wind Speed Uncertainty Via a Scenario Treementioning

confidence: 99%

The impact of wind uncertainty on the strategic valuation of distributed electricity storage

2015

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The intermittent nature of wind energy generation has introduced a new degree of uncertainty to the tactical planning of energy systems. Short-term energy balancing decisions are no longer (fully) known, and it is this lack of knowledge that causes the need for strategic thinking. But despite this observation, strategic models are rarely set in an uncertain environment. And even if they are, the approach used is often inappropriate, based on some variant of scenario analysis-what-if analysis. In this paper we develop a deterministic strategic model for the valuation of electricity storage (a battery), and ask: "Though leaving out wind speed uncertainty clearly is a simplification, does it really matter for the valuation of storage?". We answer this question by formulating a stochastic programming model, and compare its valuation to that of its deterministic counterpart. Both models capture the arbitrage value of storage, but only the stochastic model captures the battery value stemming from wind speed uncertainty. Is the difference important? The model is tested on a case from Lancaster University's campus energy system where a wind turbine is installed. From our analysis, we conclude that considering wind speed uncertainty can increase the estimated 123 6 P. Crespo Del Granado et al.value of storage with up to 50 % relative to a deterministic estimate. However, we also observe cases where wind speed uncertainty is insignificant for storage valuation.

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Section: Characterization Of Wind Speed Uncertainty Via a Scenario Treementioning

confidence: 99%