Energy Storage Arbitrage in Two-settlement Markets: A Transformer-Based Approach
- URL: http://arxiv.org/abs/2404.17683v1
- Date: Fri, 26 Apr 2024 20:25:05 GMT
- Title: Energy Storage Arbitrage in Two-settlement Markets: A Transformer-Based Approach
- Authors: Saud Alghumayjan, Jiajun Han, Ningkun Zheng, Ming Yi, Bolun Xu,
- Abstract summary: This paper presents an integrated model for bidding energy storage in day-ahead and real-time markets.
We show that in integrated two-stage bidding, the real-time bids are independent of day-ahead settlements, while the day-ahead bids should be based on predicted real-time prices.
- Score: 0.0
- License: http://creativecommons.org/licenses/by-nc-nd/4.0/
- Abstract: This paper presents an integrated model for bidding energy storage in day-ahead and real-time markets to maximize profits. We show that in integrated two-stage bidding, the real-time bids are independent of day-ahead settlements, while the day-ahead bids should be based on predicted real-time prices. We utilize a transformer-based model for real-time price prediction, which captures complex dynamical patterns of real-time prices, and use the result for day-ahead bidding design. For real-time bidding, we utilize a long short-term memory-dynamic programming hybrid real-time bidding model. We train and test our model with historical data from New York State, and our results showed that the integrated system achieved promising results of almost a 20\% increase in profit compared to only bidding in real-time markets, and at the same time reducing the risk in terms of the number of days with negative profits.
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