Journal article · Ahead of Print article
Price-Taker Offering Strategy in Electricity Pay-as-Bid Markets
Universita di Padova1
Department of Electrical Engineering, Technical University of Denmark2
Center for Electric Power and Energy, Centers, Technical University of Denmark3
Energy Analytics and Markets, Center for Electric Power and Energy, Centers, Technical University of Denmark4
CITIES - Centre for IT-Intelligent Energy Systems, Centers, Technical University of Denmark5
The recent increase in the deployment of renewable energy sources may affect the offering strategy of conventional producers, mainly in the balancing market. The topics of optimal offering strategy and self-scheduling of thermal units have been extensively addressed in the literature. The feasible operating region of such units can be modeled using a mixed-integer linear programming approach, and the trading problem as a linear programming problem.
However, the existing models mostly assume a uniform pricing scheme in all market stages, while several European balancing markets (e.g., in Germany and Italy) are settled under a pay-as-bid pricing scheme. The existing tools for solving the trading problem in pay-as-bid electricity markets rely on non-linear optimization models, which, combined with the unit commitment constraints, result in a mixed-integer non-linear programming problem.
In contrast, we provide a linear formulation for that trading problem. Then, we extend the proposed approach by formulating a two-stage stochastic problem for optimal offering in a two-settlement electricity market with a pay-as-bid pricing scheme at the balancing stage. The resulting model is mixed-integer and linear.
The proposed model is tested on a realistic case study against a sequential offering approach, showing the capability of increasing profits in expectation.
| Language: | English |
|---|---|
| Publisher: | IEEE |
| Year: | 2018 |
| Pages: | 2175-2183 |
| ISSN: | 08858950 and 15580679 |
| Types: | Journal article and Ahead of Print article |
| DOI: | 10.1109/TPWRS.2017.2737322 |
| ORCIDs: | Kazempour, Jalal and Pinson, Pierre |
Mixed-integer linear programming Offering strategy Pay-as-bid SDG 7 - Affordable and Clean Energy Stochastic Programming Thermal unit
Electricity supply industry European balancing markets Mixed-integer linear program Optimization Pricing Production Stochastic processes Uncertainty Wind power generation balancing market balancing stage feasible operating region integer programming linear formulation linear programming market stages mixed-integer linear programming approach mixed-integer nonlinear programming problem nonlinear optimization models nonlinear programming offering strategy optimal offering strategy pay-as-bid pay-as-bid electricity markets pay-as-bid pricing scheme power generation dispatch power markets price-taker offering strategy pricing renewable energy sources sequential offering approach stochastic programming thermal unit thermal units trading problem two-settlement electricity market two-stage stochastic problem uniform pricing scheme unit commitment constraints
