Portfolio Management For A Wind-Storage System Based On Distributionally Robust Optimisation Considering A Flexible Ramping Product

A wind-storage system (WSS) can use the synergy between wind farms and battery storages to mitigate the uncertainty of wind. With the flexible ramping capability of battery storages, a WSS can diversify its portfolio by selling energy, committing regulation services and offering flexible ramping products in a power market. The portfolio management problem of a WSS is studied here. The uncertainties of market prices and wind power are considered. In order to maximise the expected profit in the worst case, a distributionally robust optimisation model is proposed. The model is then reformulated as a solvable semidefinite optimisation problem. Real market data are used in the simulation, which validates the proposed method.