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- W2963014805 abstract "Deploying a certain capacity of storage assets in a renewable-only generation portfolio is unarguably imperative to maintain system reliability. These storage assets can be owned and managed by utilities, renewable energy developers, system operator, or any private merchant. Intermediary storage merchant can invest on these storage assets through capacity contracts. Investing on capacity contracts is risky owing to the inherent uncertainties in the energy market and renewable energy generation. By contracting a selected set of geographically diverse storage assets, the merchant can mitigate the risk of revenue loss and improve the return profile. This paper aims to determine the optimal storage portfolio for the merchant from a risk averse perspective. We formulate this problem as a tri-level stochastic optimization program. The upper level minimizes the aggregate risk for the intermediary merchant, the mid-level maximizes the expected profit for the owner of the non-contracted storage assets, and the lower level clears a day-ahead electricity market. The proposed tri-level problem is reformulated as a bi-level program and solved by column-and-constraint generation technique. The experiments are conducted on an IEEE 24-bus and 96-bus systems, and the generation is assumed to be wind and solar only. The impact of regional and geographical diversification on the created portfolios is studied." @default.
- W2963014805 created "2019-07-30" @default.
- W2963014805 creator A5003123599 @default.
- W2963014805 date "2020-07-01" @default.
- W2963014805 modified "2023-10-18" @default.
- W2963014805 title "Portfolio Diversification for an Intermediary Energy Storage Merchant" @default.
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- W2963014805 doi "https://doi.org/10.1109/tste.2019.2929947" @default.
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