On optimal operation of storage devices under stochastic market prices

Recent results in the literature have demonstrated the value of energy storage assets in increasing the efficiency of power grid. As operation of most assets in the grid is governed by their generated economic value to their owner, it is imperative to study the optimal operation of storage assets in response to pricing signals from the market. In this work we consider the problem of optimal operation of a generic energy storage device under stochastic energy prices. We show that under certain conditions, the optimal policy for operating the storage asset follows an extended threshold form and can be obtained in a computationally efficient manner.