Optimal management of a wind power plant with storage capacity

Jérôme Collet (1) , Olivier Féron (2) , Peter Tankov (3)

1 EDF - EDF
2 EDF R&D MMC - Matériaux et Mécanique des Composants
3 CREST - Centre de Recherche en Économie et Statistique

We consider the problem of a wind producer who has access to the spot and intraday electricity markets and has the possibility of partially storing the produced energy using a battery storage facility. The aim of the producer is to maximize the expected gain of selling in the market the energy produced during a 24-hour period. We propose and calibrate statistical models for the power production and the intraday electricity price, and compute the optimal strategy of the producer via dynamic programming.

Mots clés: wind power generation; battery storage; intraday electricity market; stochastic control

Domaines: Gestion des risques [q-fin.RM]; Energie électrique

Jérôme Collet, Olivier Féron, Peter Tankov. Optimal management of a wind power plant with storage capacity. 2017. ⟨hal-01627593⟩