Starjournal Quotation Löhndorf, Nils, Wozabal, David, Minner, Stefan. 2013. Optimizing Trading Decisions for Hydro Storage Systems using Approximate Dual Dynamic Programming. Operations Research, 61 (4), 810-823.


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Abstract

We propose a new approach to optimize operations of hydro storage systems with multiple connected reservoirs whose operators participate in wholesale electricity markets. Our formulation integrates short-term intraday with long-term interday decisions. The intraday problem considers bidding decisions as well as storage operation during the day and is formulated as a stochastic program. The interday problem is modeled as a Markov decision process of managing storage operation over time, for which we propose integrating stochastic dual dynamic programming with approximate dynamic programming. We show that the approximate solution converges toward an upper bound of the optimal solution. To demonstrate the efficiency of the solution approach, we fit an econometric model to actual price and inflow data and apply the approach to a case study of an existing hydro storage system. Our results indicate that the approach is tractable for a real-world application and that the gap between theoretical upper and a simulated lower bound decreases sufficiently fast.

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Publication's profile

Status of publication Published
Affiliation WU
Type of publication Journal article
Journal Operations Research
Citation Index SCI
WU Journalrating 2009 A+
Starjournal Y
Language English
Title Optimizing Trading Decisions for Hydro Storage Systems using Approximate Dual Dynamic Programming
Volume 61
Number 4
Year 2013
Page from 810
Page to 823
Reviewed? Y
URL http://or.journal.informs.org/content/61/4/810.full.pdf+html
DOI http://dx.doi.org/10.1287/opre.2013.1182
Open Access Y

Associations

People
Löhndorf, Nils (Former researcher)
External
Minner, Stefan (Technische Universität München, Germany)
Wozabal, David (Technische Universität München, Germany)
Organization
Produktionsmanagement (Taudes) (Details)
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