Title: Risk-Averse Optimization of Wind-Based Electricity Generation with Battery Storage by Merve Eser , MS Industrial Engineering
Advisor: Doç. Dr. Özlem Çavuş İyigün
Date: Sept. 19, 2022 10:00 AM Istanbul
Meeting ID: 654 774 6234
Abstract: As the global installed capacity of wind power increases, various solutions have been developed to accommodate the intermittent nature of wind. Making an investment in battery storage helps to reduce power fluctuations, increase reliability to deliver on-demand power, and decrease wind curtailment. In the literature, power producers are generally modelled as risk-neutral decision makers, and the focus has been on expected profit maximization. For many privately-held small independent power producers, it is more important to capture their risk-aversion through specialized risk measurements driven by the owner's specific risk preferences, even though the expected value-maximization objective is very desirable for large corporations with diversified investors. We consider a risk-averse, privately-held, small IPP interested in investing in a battery storage system and jointly operating a wind farm and storage system connected to the market via a transmission line. Markov decision process (MDP) is used to model the problem and find optimal investment, generation, and operational storage decisions. Using dynamic coherent risk measures, we incorporate risk-aversion into our formulation. By choosing first-order mean-semi-deviation as the risk measure, we obtain optimal threshold-based policy structure as well as optimal storage investment capacity. We perform a sensitivity analysis on optimal storage capacity with respect to the risk-aversion degree and transmission line limitations.