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dc.contributor.authorMARTYR, REen_US
dc.contributor.authorSzabo, DZen_US
dc.date.accessioned2017-05-05T10:43:45Z
dc.date.available2017-04-20en_US
dc.date.issued2017-07-10en_US
dc.date.submitted2017-04-27T11:35:45.214Z
dc.identifier.issn1471-2962en_US
dc.identifier.urihttp://qmro.qmul.ac.uk/xmlui/handle/123456789/22647
dc.description.abstractThis paper is a quantitative study of a reserve contract for real-time balancing of a power system. Under this contract, the owner of a storage device, such as a battery, helps smooth fluctuations in electricity demand and supply by using the device to increase electricity consumption. The battery owner must be able to provide immediate physical cover, and should therefore have sufficient storage available in the battery before entering the contract. Accordingly, the following problem can be formulated for the battery owner: determine the optimal time to enter the contract and, if necessary, the optimal time to discharge electricity before entering the contract. This problem is formulated as one of optimal stopping, and is solved explicitly in terms of the model parameters and instantaneous values of the power system imbalance. The optimal operational strategies thus obtained ensure that the battery owner has positive expected economic profit from the contract. Furthermore, they provide explicit conditions under which the optimal discharge time is consistent with the overall objective of power system balancing. This paper also carries out a preliminary investigation of the "lifetime value" aggregated from an infinite sequence of these balancing reserve contracts. This lifetime value, which can be viewed as a single project valuation of the battery, is shown to be positive and bounded. Therefore, in the long run such reserve contracts can be beneficial to commercial operators of electricity storage, while reducing some of the financial and operational risks in power system balancing.en_US
dc.description.sponsorshipRandall Martyr expresses his gratitude to the UK Engineering and Physical Sciences Research Council (EPSRC) for its financial support via grant no. EP/N013492/1, and partial support via grant no. EP/K00557X/2.
dc.publisherRoyal Society, Theen_US
dc.relation.ispartofPhilosophical Transactions of the Royal Society A: Mathematical, Physical and Engineering Sciencesen_US
dc.rightsThis is a pre-copyedited, author-produced version of an article accepted for publication in Philosophical Transactions of the Royal Society A following peer review. The version of record is available http://rsta.royalsocietypublishing.org/content/375/2100/20160300
dc.subjectoptimal stoppingen_US
dc.subjectOR in energyen_US
dc.subjectreal optionen_US
dc.subjectelectricity balancing reserveen_US
dc.subjectelectricity regulation servicesen_US
dc.titleReal option valuation of a decremental regulation service provided by electricity storageen_US
dc.typeArticle
dc.rights.holder© 2017 The Author(s)
dc.identifier.doi10.1098/rsta.2016.0300en_US
pubs.notesNot knownen_US
pubs.notesArticle to appear in the "Energy management: Flexibility, risk and optimisation" issue of Philosophical Transactions A.en_US
pubs.publication-statusPublisheden_US
dcterms.dateAccepted2017-04-20en_US
qmul.funderNash equilibria for load balancing in networked power systems::Engineering and Physical Sciences Research Councilen_US
qmul.funderNash equilibria for load balancing in networked power systems::Engineering and Physical Sciences Research Councilen_US


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