Journal article
Pool Strategy of a Price-Maker Wind Power Producer
Department of Applied Mathematics and Computer Science, Technical University of Denmark1
Dynamical Systems, Department of Applied Mathematics and Computer Science, Technical University of Denmark2
Department of Electrical Engineering, Technical University of Denmark3
Center for Electric Power and Energy, Centers, Technical University of Denmark4
We consider the problem of a wind power producer trading energy in short-term electricity markets. The producer is a price-taker in the day-ahead market, but a price-maker in the balancing market, and aims at optimizing its expected revenues from these market floors. The problem is formulated as a mathematical program with equilibrium constraints (MPEC) and cast as a mixed-integer linear program (MILP), which can be solved employing off-the-shelf optimization software.
The optimal bid is shown to deliver significantly improved performance compared to traditional bids such as the conditional mean or median forecast of wind power distribution. Finally, sensitivity analyses are carried out to assess the impact on the offering strategy of the producer's penetration in the market, of the correlation between wind power production and residual system deviation, and of the shape of the forecast distribution of wind power production.
Language: | English |
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Publisher: | IEEE |
Year: | 2013 |
Pages: | 3440-3450 |
ISSN: | 15580679 and 08858950 |
Types: | Journal article |
DOI: | 10.1109/TPWRS.2013.2252633 |
ORCIDs: | Pinson, Pierre and Madsen, Henrik |