Combined SDDP and simulator model for hydropower scheduling with sales of capacity

Water values in future power markets

“…We focus on a single reservoir and assume one time step within the decision stage. The one-stage problem is represented by equations (1)- (5). We analytically evaluate the impact of sales of reserve capacity on the water values.…”

“…The use of water in the current time period and sales of capacity for the next time period is balanced against the future expected profit α t+1 , which is constrained by linear constraints of type (5), often referred to as cuts. These cuts are built iteratively in the overall stochastic and dynamic optimization problem, but for the further discussion we assume that a set of cuts K is available when solving the one-stage problem.…”

“…A cut k is defined by its cut coefficientsπ v k andπ c k and right-hand sideβ k . Dual values are indicated in parenthesis for each type of constraints (2) - (5).…”

“…2. Recall that the evaluation of expected future profit is provided by cuts of type (5). We obtain the resulting water values for a given system state (reservoir volume and reserve capacity sales) by moving these terms to the right-hand side in (5) so that only α t+1 is left as a variable.…”

“…Such multi-market scheduling models have been presented in recent literature, see e.g. [1]- [5]. In this work we broadly define balancing markets to comprise markets for reserve capacity procurement and balancing energy.…”