arXiv · arXiv · 2026
We develop a stochastic game-theoretic model for intraday dispatch of grid-scale battery energy storage systems (BESSs). We assume that each BESS operator competitively manages her state-of-charge to maximize energy arbitrage revenues, driven by the endogenized electricity price that depends on the sum of the charging rates. We characterize the Nash equilibrium of the resulting finite-player linear-quadratic differen…
Ruimeng Hu, Mike Ludkovski, Hezhong Zhang
arXiv · arXiv · 2026
Battery energy storage systems (BESS) participating in multi-market electricity trading require price forecasts to optimize dispatch decisions. A widely held assumption is that forecast accuracy, measured by standard metrics such as mean absolute error (MAE), drives trading performance. We challenge this assumption using a hierarchical three-layer optimization system trading simultaneously on frequency containment re…
Alessandro Falezza
arXiv · arXiv · 2026
We present an approximate dynamic programming framework for designing degradation-aware market participation policies for battery energy storage systems. The approach employs a tailored value function approximation that reduces the state space to state of charge and battery health, while performing dynamic programming along a pseudo-time axis encoded by state of health. This formulation enables an offline/online comp…
Flemming Holtorf, Sungho Shin
arXiv · arXiv · 2025
Energy storage promotes the integration of renewables by operating with charge and discharge policies that balance an intermittent power supply. A key challenge in this emerging sector is how to optimize the operation of storage assets given future price uncertainties and the need to recover the costs of project finance while ensuring an attractive return on equity and hedging against downside risk. This study invest…
Gabriel D. Patrón, Di Zhang, Lavinia M. P. Ghilardi, Evelin Blom, Maldon Goodridge
arXiv · arXiv · 2025
Maximizing revenue for grid-scale battery energy storage systems in continuous intraday electricity markets requires strategies that are able to seize trading opportunities as soon as new information arrives. This paper introduces and evaluates a computationally efficient, high-frequency implementation of the rolling intrinsic trading strategy for battery energy storage systems on the intraday market for power. By co…
David Schaurecker, David Wozabal, Nils Löhndorf, Thorsten Staake
arXiv · arXiv · 2024
This paper is devoted to the price-storage dynamics in natural gas markets. A novel stochastic path-dependent volatility model is introduced with path-dependence in both price volatility and storage increments. Model calibrations are conducted for both the price and storage dynamics. Further, we discuss the pricing problem of discrete-time swing options using the dynamic programming principle, and a deep learning-bas…
Jinniao Qiu, Antony Ware, Yang Yang
arXiv · arXiv · 2010
The mathematical problem of the static storage optimisation is formulated and solved by means of a variational analysis. The solution obtained in implicit form is shedding light on the most important features of the optimal exercise strategy. We show how the solution depends on different constraint types including carry cost and cycling constraint. We investigate the relation between intrinsic and stochastic solution…
Dmitry Lesnik
arXiv · arXiv · 2025
Battery Energy Storage Systems (BESS) are a cornerstone of the energy transition, as their ability to shift electricity across time enables both grid stability and the integration of renewable generation. This paper investigates the profitability of different market bidding strategies for BESS in the Central European wholesale power market, focusing on the day-ahead auction and intraday trading at EPEX Spot. We emplo…
Daniel Oeltz, Tobias Pfingsten
arXiv · arXiv · 2026
Transient impact models compose a nonlinearity with a memory kernel, and the order of composition determines the criterion for absence of price manipulation. We classify both orders. If an arbitrary instantaneous law $f$ acts on the trading rate before any nonzero integrable Volterra kernel, nonnegative cost on every finite piecewise-constant round trip forces $f$ to be affine, and linear for every nonzero convolutio…
Minhyeok Lee