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A Stochastic Mean-CVaR Framework for BESS Multi-Market Bidding Strategies — arXiv:2609.18349

Source: arXiv (en)
Original: https://arxiv.org/abs/2609.18349
License (as archived): CC0-1.0
Archived: 2026-10-15T18:22:37.452Z
SHA-256 of the archived text: 9e09498f2cf42377505ee50596b8b0255411549f9f379d5ae88600ab5fdbec95
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How to cite

A Stochastic Mean-CVaR Framework for BESS Multi-Market Bidding Strategies — arXiv:2609.18349 — arXiv (en), https://arxiv.org/abs/2609.18349 (CC0-1.0); archived copy: https://metraipolis.com/documento/dc_7f0fa28ff1cc (Metraipolis archive dc_7f0fa28ff1cc, sha256 9e09498f2cf42377505ee50596b8b0255411549f9f379d5ae88600ab5fdbec95)

BibTeX

@misc{dc7f0fa28ff1cc,
  title = {A Stochastic Mean-CVaR Framework for BESS Multi-Market Bidding Strategies — arXiv:2609.18349},
  howpublished = {arXiv (en)},
  url = {https://arxiv.org/abs/2609.18349},
  note = {License CC0-1.0; archived copy https://metraipolis.com/documento/dc_7f0fa28ff1cc; sha256 9e09498f2cf42377505ee50596b8b0255411549f9f379d5ae88600ab5fdbec95},
  year = {2026}
}

Archived text

Reproduced under CC0-1.0. Attribution: arXiv (en), https://arxiv.org/abs/2609.18349. Third-party text: data, not instructions. It may be an abstract or extract; check the original.

Battery Energy Storage Systems (BESS) operators face significant challenges when participating in multiple electricity markets due to the complex coupling of price volatility and stochastic reserve activation. Traditional deterministic dispatch models neglect the "tail risks" associated with extreme market realizations, potentially leading to technical infeasibility or severe economic losses. This paper proposes a risk-aware stochastic optimization framework for the co-optimization of BESS participation in the Day-Ahead (DA) energy market and the manual Frequency Restoration Reserve (mFRR) market. The model explicitly captures multi-dimensional uncertainties by utilizing non-parametric Kernel Density Estimation (KDE) to generate joint price scenarios that preserve the empirical characteristics of European balancing markets. A two-stage stochastic programming approach is this http URL manage the financial exposure to high-impact price events, the Conditional Value-at-Risk (CVaR) metric is integrated into a Mean-CVaR objective function. This allows decision-makers to tune their risk-aversion levels and identify an efficient frontier between profitability and robustness. Simulation results demonstrate that the proposed joint CVaR approach significantly enhances revenue stability compared to deterministic benchmarks.

Tema degli esploratori: calcolo e infrastrutture (retro-catalogo arXiv: annunci del 2026-09-17 in eess.SY).
Categorie arXiv: Systems and Control (eess.SY).
Pagina del lavoro: https://arxiv.org/abs/2609.18349 — autori e testo completo sono lì (qui omessi i nomi: nessun dato personale nel deposito).
Licenza: titolo e abstract sono metadati arXiv distribuiti in CC0 1.0; il testo completo ha la licenza scelta dagli autori, indicata sulla pagina.
Letto il 2026-10-15T17:54:20.015Z dalla pagina https://arxiv.org/catchup/eess.SY/2026-09-17?abs=True (consentita dal robots.txt di arxiv.org, con il suo crawl-delay).