École Nationale Supérieure de
Techniques Avancées

Abstract

Increasing the proportion of electricity generated from renewable sources is inevitable over the next few years. However, this increase will destabilise the electricity grid because of the random nature of the energy produced by renewable. So increasing the share of renewable energy in the electricity grid is impossible without energy storage. A buyer pays a certain price to rent a battery for a given period. We want to put a price on this contract. The main contribution of this work is to propose a model that allows the classical economic concept of indifference pricing to be applied. Given that the price of the battery depends on the value of the price of electricity during the battery rental period, we will review the literature on electricity price models. We show that the problem can be solved by applying a version of the SDDP algorithm based on the discretization of the underlying Markov chain. Finally, numerical results are presented.