Journal of Electrical Engineering and Technology

  • 제13권1호
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  • Pages.51-59
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  • 2018
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  • 1975-0102(pISSN)
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  • 2093-7423(eISSN)
대한전기학회 (The Korean Institute of Electrical Engineers)
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Optimal ESS Investment Strategies for Energy Arbitrage by Market Structures and Participants

  • Lee, Ho Chul (Power Economics Research Office, Korea Power Exchange) ;
  • Kim, Hyeongig (ICT Business Department, Hyundai Electric & Energy Systems Co., Ltd.) ;
  • Yoon, Yong Tae (epartment of Electrical and Computer Engineering, Seoul National University)
  • 투고 : 2017.05.15
  • 심사 : 2017.08.09
  • 발행 : 2018.01.01
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초록

Despite the advantages of energy arbitrage using energy storage systems (ESSs), the high cost of ESSs has not attracted storage owners for the arbitrage. However, as the costs of ESS have decreased and the price volatility of the electricity market has increased, many studies have been conducted on energy arbitrage using ESSs. In this study, the existing two-period model is modified in consideration of the ESS cost and risk-free contracts. Optimal investment strategies that maximize the sum of external effects caused by price changes and arbitrage profits are formulated by market participants. The optimal amounts of ESS investment for three types of investors in three different market structures are determined with game theory, and strategies in the form of the mixed-complementarity problem are solved by using the PATH solver of GAMS. Results show that when all market participants can participate in investment simultaneously, only customers invest in ESSs, which means that customers can obtain market power by operating their ESSs. Attracting other types of ESS investors, such as merchant storage owners and producers, to mitigate market power can be achieved by increasing risk-free contracts.

키워드

E1EEFQ_2018_v13n1_51_f0001.png 이미지

Fig. 1. Scheme of ESS ownership and operation for energyarbitrage by market participants

E1EEFQ_2018_v13n1_51_f0002.png 이미지

Fig. 2. Two-period model: effects of energy arbitrage usingESS on price and demand in periods 1 and 2

E1EEFQ_2018_v13n1_51_f0003.png 이미지

Fig. 3. Two-period model under TOU tariff

E1EEFQ_2018_v13n1_51_f0004.png 이미지

Fig. 4. Two-period model under SMP with the assumptionthat ESOs are price-takers

E1EEFQ_2018_v13n1_51_f0005.png 이미지

Fig. 5. Welfare changes in CASE 1 according to theamount of ESS for energy arbitrage by the costs ofstoring: (a) welfare changes, and (b) marginalwelfare changes

E1EEFQ_2018_v13n1_51_f0006.png 이미지

Fig. 6. Best response functions and Nash equilibrium oftwo customers’ non-cooperative game for CASE 2

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Fig. 7. Impacts of risk-free contracts on surplus ofinvestors

E1EEFQ_2018_v13n1_51_f0008.png 이미지

Fig. 8. Best response functions of a customer and tensymmetric MSOs and their Nash equilibria according

Table 1. Representative entities

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Table 2. Value of market and ESS parameters.

E1EEFQ_2018_v13n1_51_t0002.png 이미지

Table 3. Total optimal amounts of ESS investment by each sector by the number of market participants (w =0).

E1EEFQ_2018_v13n1_51_t0003.png 이미지

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