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Managing Wind-Based Electricity Generation In The Presence Of Storage And Transmission Capacity, Yangfang (Helen) Zhou, Alan Scheller-Wolf, Nicola Secomandi, Stephen Smith

Research Collection Lee Kong Chian School Of Business

We investigate the management of a merchant wind energy farm co‐located with a grid‐level storage facility and connected to a market through a transmission line. We formulate this problem as a Markov decision process (MDP) with stochastic wind speed and electricity prices. Consistent with most deregulated electricity markets, our model allows these prices to be negative. As this feature makes it difficult to characterize any optimal policy of our MDP, we show the optimality of a stage‐ and partial‐state‐dependent‐threshold policy when prices can only be positive. We extend this structure when prices can also be negative to develop heuristic one …