Impact of storage on the efficiency and prices in real-time electricity markets

Nicolas Gast 1, 2 Jean-Yves Le Boudec 2 Alexandre Proutière 3, 4 Dan-Cristian Tomozei 2
1 MESCAL - Middleware efficiently scalable
Inria Grenoble - Rhône-Alpes, LIG - Laboratoire d'Informatique de Grenoble
3 DYOGENE - Dynamics of Geometric Networks
CNRS - Centre National de la Recherche Scientifique : UMR8548, Inria Paris-Rocquencourt, DI-ENS - Département d'informatique de l'École normale supérieure
Abstract : We study the effect of energy-storage systems in dynamic real-time electricity markets. We consider that demand and renewable generation are stochastic, that real-time produc-tion is affected by ramping constraints, and that market players seek to selfishly maximize their profit. We distin-guish three scenarios, depending on the owner of the stor-age system: (A) the supplier, (B) the consumer, or (C) a stand-alone player. In all cases, we show the existence of a competitive equilibrium when players are price-takers (they do not affect market prices). We further establish that under the equilibrium price process, players' selfish responses coin-cide with the social welfare-maximizing policy computed by a (hypothetical) social planner. We show that with storage the resulting price process is smoother than without. We determine empirically the storage parameters that max-imize the players' revenue in the market. In the case of consumer-owned storage, or a stand-alone storage operator (scenarios B and C), we find that they do not match so-cially optimal parameters. We conclude that consumers and the stand-alone storage operator (but not suppliers) have an incentive to under-dimension their storage system. In addition, we determine the scaling laws of optimal storage parameters as a function of the volatility of demand and re-newables. We show, in particular, that the optimal storage energy capacity scales as the volatility to the fourth power.
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Submitted on : Friday, November 21, 2014 - 4:49:04 PM
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Nicolas Gast, Jean-Yves Le Boudec, Alexandre Proutière, Dan-Cristian Tomozei. Impact of storage on the efficiency and prices in real-time electricity markets. e-Energy 2013 - 4th International Conference on Future Energy Systems, May 2013, Berkeley, United States. pp.15-26, ⟨10.1145/2487166.2487169⟩. ⟨hal-01086041⟩

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