Just to add...from what I recall, the address isn't immediately apparent, so it helps if you know what the Palace looks like. In case not: it is set back from the road, and on a marble plinth with a double flight of stairs leading up to the front of it. Pretty much opposite is the island with the New Holland Arch and the ruins of overground warehouses around. The area is slightly seedy, but then it always was.
Alexei Alexandrovich's palace is a little further on.
Janet