Optimal Integrated Generation Bidding and Scheduling With Risk Management Under a Deregulated Power Market

Abstract

Abstract-In the deregulated power industry, a generation company (GenCo) sells energy and ancillary services primarily through auctions in a daily market. Developing effective strategies to optimize hourly offer curves for a hydrothermal power system to maximize profits has been one of the most challenging and important tasks for a GenCo. This paper presents an integrated bidding and scheduling algorithm with risk management under a deregulated market. A stochastic mixed-integer optimization formulation having a separable structure with respect to individual units is first established. A method combining Lagrangian relaxation and stochastic dynamic programming is then presented to select hourly offer curves for both energy and reserve markets. In view that pumped-storage units provide significant energy and reserve at generating and pumping, the offering strategies are specially highlighted in this paper. Numerical testing based on an 11-unit system with a major pumped-storage unit in the New England market shows that the algorithm is computationally efficient, and effective energy and reserve offer curves are obtained in 4-5 min on a 600-MHz Pentium III PC. The risk management method significantly reduces profit variances and, thus, bidding risks.

Optimal bidding of a profit-maximizing hydropower producer in day-ahead and real-time markets

“…A stochastic programming model for bidding to two-hour-ahead market is introduced in [8]. More contributions in the field of optimal bidding strategy include [9], [10] and [11].…”

Optimization of Power Plant Generating Capacity Scheduling Based On Markov Model

“…Survey data shown that the energy saving regulation reform if implemented successfully, energy saving more than 100 million tons of standard coal annually, accounting for over 4% of China's total energy consumption for 2005 as a whole. The survey results show that by improving power scheduling method, in accordance with the principle of energy conservation, environmental protection, economic generation dispatching sequence, also has strong operability in reality which is the electric power industry "Eleven-Five" an important measure of energy saving targets [1]. For a long time, in an integrated management system of electric power industry coal consumption has been implemented in accordance with the levels sorted scheduling methods.…”

Determination of Secondary Reserve Requirement Through Interaction-dependent Clearance Between Ex-ante and Ex-post

“…From the view of suppliers, energy market and reserve market are interdependent due to each generating resource's capacity limit and technical aspect. This problem is about a decision making problem to achieve total benefit maximization [19][20][21][22][23]. Decision support for bidding has been studied using deterministic and stochastic approaches to deal with unknown market prices [21].…”