Optimal stochastic decisions for battery control in continuous intraday markets

The global expansion of renewable electricity production implies an increasing need for flexibility options. Currently, the construction of Battery Electricity Storage Systems (BESS) is booming. In Europe, Continuous Intraday Markets (CID) pose an important platform for short-term balancing of stochastic demand and intermittent production. This paper studies the stochastic decision problem of optimal BESS operation in CID-markets for maximal profit under future price uncertainty. Using dynamic programming, we mathematically formulate an optimal solution and derive major properties, which allow to present a numerically feasible algorithm for CID-trading with batteries. Supposing market efficiency and a Markovian model, we apply this algorithm to the German market in a backtesting simulation study for the years 2022 to 2025. On average, we generate an annual cash flow between 30,678 EUR and 56,016 EUR per 1 MWh of usable capacity, depending on technical conditions of the battery (C-rate, efficiency, usage intensity). These revenues are stable within the considered horizon apart from yearly seasonality and make up 82% of a benchmark with perfect-foresight under realistic technical conditions.