Consumer hedging against price volatility under uncertainty

The large-scale integration of renewables to the electrical grid is resulting in the increase of price volatility in electricity markets. This increase is undesirable from both electricity producer and consumer perspectives. In this paper, we present a framework that allows consumers to hedge against the price volatility. Using optimization duality theory, we quantify the amount of demand-side flexibility that an Energy Storage System (ESS) is required to provide for constraining marginal prices to a consumer's maximum willingness to pay for electricity. The ESS is operated using Model Predictive Control (MPC) and depends on renewable generation forecasts. Forecast uncertainties are accounted through probabilistic constraints that are applied on the ESS operation. Probabilistic constraints enable the Energy Storage Operator to set a priori robustness guarantees on the solution which are cheaper than robust approaches. Through simulations it is demonstrated that the formulation is able to successfully hedge against price volatility considering uncertainty.