Integrated day-ahead and intraday self-schedule bidding for energy storage systems using approximate dynamic programming

Benedikt Finnah, Jochen Gönsch, Florian Ziel

Abstract: Highlights•Trading optimization for an energy storage with competitive price forecast.•High-dimensional dynamic program solved by backwards approximate dynamic programming.•Dynamic programs must use competitive price forecasts.•Integrated trading in both markets outperforms only one and sequential optimization.•Simple expectation model sufficiently approximates daily stochastic program.