Offering Strategies of Wind Power Producers in a Day-Ahead Electricity Market

Part 13: Energy: Decision SupportInternational audienceThis paper presents a stochastic optimization-based approach applied to offer strategies of a wind power producer in a day-ahead electricity market. Further from facing the uncertainty on the wind power the market forces wind power producers to face the uncertainty of the market-clearing electricity price. Also, the producer faces penalties in case of being unable to fulfill the offer. An efficient mixed-integer linear program is presented to develop the offering strategies, having as a goal the maximization of profit. A case study with data from the Iberian Electricity Market is presented and results are discussed to show the effectiveness of the proposed approach

Offering Strategies of Wind Power Producers in a Day-Ahead Electricity Market

This paper presents a stochastic optimization-based approach applied to offer strategies of a wind power producer in a day-ahead electricity market. Further from facing the uncertainty on the wind power the market forces wind power producers to face the uncertainty of the market-clearing electricity price. Also, the producer faces penalties in case of being unable to fulfill the offer. An efficient mixed-integer linear program is presented to develop the offering strategies, having as a goal the maximization of profit. A case study with data from the Iberian Electricity Market is presented and results are discussed to show the effectiveness of the proposed approach

Incerteza e risco em coordenação térmica-eólica por metodologia estocástica

A tese é uma contribuição no âmbito do problema para a determinação de estratégias de oferta ótimas a submeter em mercado diário de eletricidade, considerando incerteza e risco. A metodologia proposta tem em consideração o caráter estocástico de variáveis envolvidas no problema e constitui um suporte racional à exploração de coordenação eólica-térmica. A metodologia de otimização estocástica de dois estados com recurso é a base para o desenvolvimento proposto para suporte à tomada de decisão de uma empresa produtora de energia elétrica por coordenação térmica-eólica sujeita a eventos aleatórios. Estes eventos são as fontes de incerteza associadas com o mercado de eletricidade e com a disponibilidade de energia eólica, caracterizando a aleatoriedade do problema em estudo. As fontes de incerteza são descritas por um conjunto de cenários eventualmente factíveis ou com potencialidade para qualificar boas decisões. A metodologia proposta conduz a uma exploração mais fidedigna em ambiente competitivo, acedendo com níveis superiores de racionalidade a estratégias de licitação para o mercado, tendo em consideração a ponderação de risco na tomada de decisão. Ainda, a metodologia tem em consideração a computação de aspetos relevantes, como a emissão antropogénica e o cumprimento do regulamento do UCTE relativo a segurança no fornecimento. Casos de estudos são apresentados permitindo concluir sobre o interesse e as vantagens que a metodologia oferece; Uncertainty and Risk on Wind-Thermal Coordination by Stochastic Methodology Abstract: This thesis is a contribution in the context of the problem of the optimal offer strategies determination to submit in electricity markets considering uncertainty and risk. The proposed method takes into account the stochastic character of variables involved in the problem and provides a rational support for the operation of wind-thermal coordination. Stochastic optimization of two-stages with recourse modelling is the basis for the proposed development to support the decision making of a company producing electricity by wind-thermal coordination subject to random events. These events are the sources of uncertainty associated with the electricity market and the availability of wind power characterizing the randomness of the problem under study. The sources of uncertainty are described by a set of possibly achievable scenarios or with potential to qualify good decisions. The proposed method leads to a more accurate operating in a competitive environment by accessing with higher levels of rationality bidding strategies to submit in the market, having a risk weighting consideration in decision making. Further, the methodology takes into account relevant aspects to be computed, such as anthropogenic emissions and compliance with the UCTE regulation on the security of supply. Case studies are presented allowing to conclude on the interest and the advantages offered by the methodology