Orateur
Description
Consider an electric battery whose owner has committed with a transmission system operator (e.g., RTE in France) to making at its disposal a "reserve'" of electricity along a given day: every hour, a random quantity will be discharged from or charged to the battery; the commitment is on the range of this random variable. To respond at best to this commitment, the owner of the battery can buy or sell electricity every hour on the "intraday" market, at prices following a random process. Moreover, there is a maximal energy level, a bound on the maximal variation of this level, and an extra final cost anticipating the future; the exact value of both the reserve activation and the price is only revealed at the last moment. The problem consists in finding a policy minimizing the expected cost of ensuring satisfaction of the commitment. To the authors' knowledge, this problem has not been addressed yet.
