Reachability Guarantees for Energy Arbitrage
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arXiv
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| Hauptverfasser: | , |
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| Format: | Preprint |
| Veröffentlicht: |
2026
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| _version_ | 1866914261131853824 |
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| author | Tapia, Tomás Dvorkin, Yury |
| author_facet | Tapia, Tomás Dvorkin, Yury |
| contents | This paper introduces a unified framework for battery energy arbitrage under uncertain market prices that integrates chance-constrained terminal state-of-charge requirements with online threshold policies. We first cast the multi-interval arbitrage problem as a stochastic dynamic program enhanced by a probabilistic end-of-horizon state-of-charge (SoC) constraint, ensuring with high confidence that the battery terminates within a prescribed energy band. We then apply a $k$-search algorithm to derive explicit charging (buying) and discharging (selling) thresholds with provable worst-case competitive ratio, and compute the corresponding action probabilities over the decision horizon. To compute exact distributions under operational limits, we develop a probability redistribution pruning method and use it to quantify the likelihood of meeting the terminal SoC band. Leveraging the resulting SoC distribution, we estimate the minimum stopping-time required to satisfy the SoC chance constraint. Computational experiments on historical real price data demonstrate that the proposed framework substantially improves the estimation of SoC evolution and supports chance-constraint satisfaction. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2601_12081 |
| institution | arXiv |
| publishDate | 2026 |
| record_format | arxiv |
| spellingShingle | Reachability Guarantees for Energy Arbitrage Tapia, Tomás Dvorkin, Yury Systems and Control This paper introduces a unified framework for battery energy arbitrage under uncertain market prices that integrates chance-constrained terminal state-of-charge requirements with online threshold policies. We first cast the multi-interval arbitrage problem as a stochastic dynamic program enhanced by a probabilistic end-of-horizon state-of-charge (SoC) constraint, ensuring with high confidence that the battery terminates within a prescribed energy band. We then apply a $k$-search algorithm to derive explicit charging (buying) and discharging (selling) thresholds with provable worst-case competitive ratio, and compute the corresponding action probabilities over the decision horizon. To compute exact distributions under operational limits, we develop a probability redistribution pruning method and use it to quantify the likelihood of meeting the terminal SoC band. Leveraging the resulting SoC distribution, we estimate the minimum stopping-time required to satisfy the SoC chance constraint. Computational experiments on historical real price data demonstrate that the proposed framework substantially improves the estimation of SoC evolution and supports chance-constraint satisfaction. |
| title | Reachability Guarantees for Energy Arbitrage |
| topic | Systems and Control |
| url | https://arxiv.org/abs/2601.12081 |