A stochastic optimization approach to optimal bidding on dutch ancillary services markets

Puglia, Laura and Virag, Ana and Jokić, Andrej and Bemporad, Alberto (2013) A stochastic optimization approach to optimal bidding on dutch ancillary services markets. = A stochastic optimization approach to optimal bidding on dutch ancillary services markets. In: International Conference on the European Energy Market 2013, 27.-31.5.2013., Stockholm, Švedska.

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Official URL: https://doi.org/10.1109/EEM.2013.6607399

Abstract

The aim of this paper is to present a market design for trading capacity reserves (also called Ancillary Services, AS) and to introduce a strategy for the optimal bidding problem in such a scenario. In the deregulated market, the presence of several market participants or Balance Responsible Parties (BRPs) entitled for trading energy, together with the increasing integration of renewable sources and price-elastic loads, shift the focus on decentralized control and reliable forecast techniques. The main feature of the considered market design is its double-sided nature. In addition to portfolio-based supply bids and based on prediction of their stochastic production and load, BRPs are allowed to submit risk-limiting requests. Requesting capacity from the AS market corresponds to giving to the market an estimate of the possible deviation from the daily production schedule resulting from the day-ahead auction and from bilateral contracts, named E-Program. In this way each BRP is responsible for the balanced and safe operation of the electric grid. On the other hand, at each Program Time Unit (PTU) BRPs must also offer their available capacity under the form of bids. In this paper, a bidding strategy to the double-sided market is described, where the risk is minimized and all the constraints are fulfilled. The algorithms devised are tested in a simulation environment and compared to the current practice, where the double-sided auction is not contemplated. Results in terms of expected imbalances and reliability are presented.

Item Type: Conference or Workshop Item (Lecture)
Keywords (Croatian): optimal bidding; stochastic optimization; energy markets; ancillary services markets
Subjects: TECHNICAL SCIENCE > Basic technical sciences
Divisions: 900 Department of Robotics and Production System Automation > 910 Chair of Engineering Automation
Indexed in Web of Science: No
Indexed in Current Contents: No
Date Deposited: 19 Apr 2017 12:57
Last Modified: 21 Nov 2018 09:45
URI: http://repozitorij.fsb.hr/id/eprint/7702

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