Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach

Abstract

This paper analyzes a price-taker hydro generating company which participates simultaneously in day-ahead energy and ancillary services markets. An approach for deriving marginal cost curves for energy and ancillary services is proposed, taking into consideration price uncertainty and opportunity cost of water, which can later be used to determine hourly bid curves. The proposed approach combines an hourly conditional value-at-risk, probability of occurrence of automatic generation control states and an opportunity cost of water to determine energy and ancillary services marginal cost curves. The proposed approach is in a linear constraint form and is easy to implement in optimization problems. A stochastic model of the hydro-economic river basin is presented, based on the actual Vinodol hydropower system in Croatia, with a complex three-dimensional relationship between the power produced, the discharged water, and the head of associated reservoir.

Operational Hydropower Simulation in Cascaded River Systems for Intraday Re-Planning

“…As expressed in (4), based on the storage of upstream reservoir , and the storage of downstream reservoir , (if water level of downstream reservoir + 1 is higher than the outlet line of the plant), the gross plant head can be calculated in a straightforward way. It is worth mentioning that instead of using averages of stored water in certain time period to determine the water level [6,7], we utilize the value at the beginning of period . Since the time resolution in simulation is small enough (usually less than 10 seconds), this assumption is appropriate for the presented method.…”

Operational use of marginal cost curves for hydropower plants as decision support in real-time balancing markets

“…The dual value (marginal value or shadow price) of the reservoir balance equation implies the incremental water value (€) added by increasing one additional unit (m 3 ) of water in the reservoir. This value is actually the opportunity cost of using water now versus storing it for later generation [8].…”

“…Since the bidding and scheduling problems are intimately connected [2], the majority of published bidding strategies for hydropower, either in one electricity spot market [3]- [5], or in multiple markets [6]- [8], focus on optimizing the production scheduling given a deterministic or stochastic pricing. That is, the optimal set of bids is subject to a priori price-based criteria.…”

Effects of Local Electricity Trading on Power Flows and Voltage Levels for Different Elasticities and Prices

“…However, it is not suitable for the LEM organized as a local electricity-exchange where all supply and demand curves are centrally aggregated with the goal of finding market clearing price and quantities, which is the case researched in this paper. Ilak et al [26][27][28] analyzed the strategies and aspects of coordinated operation of variable RES (for example wind power plants) and controllable DSS (for example reversible hydropower plants) on the wholesale energy markets. The scope of this research is important in the context of LEM assessed in this paper, because the similar principles can be implemented on the operation of variable RES (usually solar PV systems) and DSSs (usually BESSs) owned by the prosumers in the distribution grid.…”