Optimal trading with regime switching: Numerical and analytic techniques applied to valuing storage in an electricity balancing market
研究了储能设备在电力平衡市场中的最优交易问题，结合随机微分方程与马尔可夫体制转换建模，利用数值和准解析方法求解，并基于NordPool数据校准模型，分析了最优策略对价格和参数的敏感性。
Accurately valuing storage in the electricity market recognizes its role in enhancing grid flexibility, integrating renewable energy, managing peak loads, providing ancillary services and improving market efficiency. In this paper we outline an optimal trading problem for an Energy Storage Device trading on the electricity balancing (or regulating) market. To capture the features of the balancing (or regulating) market price we combine stochastic differential equations with Markov regime switching to create a novel model, and outline how this can be calibrated to real market data available from NordPool. By modelling a battery that can be filled or emptied instantaneously, this simplifying assumption allows us to generate numerical and quasi analytic solutions. We implement a case study to investigate the behaviour of the optimal strategy, how it is affected by price and underlying model parameters. Using numerical (finite-difference) techniques to solve the dynamic programming problem, we can estimate the value of operating an Energy Storage Device in the market given fixed costs to charge or discharge. Finally we use properties of the numerical solution to propose a simple quasi-analytic approximation to the problem. We find that analytic techniques can be used to give a benchmark value for the storage price when price variations during the day are relatively small.