Trading strategy for decentralized energy resources in sequential electricity markets: A swiss case study

Abstract

Abstract-This paper derives optimal day-ahead trading strategies for an aggregator of a decentralized energy resources' mix, who participates in a multi-market environment, including a day-ahead, an intraday and a balancing market. The optimization problem is solved using multi-stage stochastic programming, which is subject to different levels of uncertainties such as variable generation output, day-ahead and intraday market prices. Risk management is conducted to investigate the effect of risk exposure on the total revenue of the aggregator. A case study based on the data from the Swiss electricity market demonstrates the effectiveness of the proposed model.Index Terms-Decentralized energy resources (DER), electricity markets, mathematical programs with equilibrium constraints, price maker, probabilistic constraints. I. INTRODUCTION A. Motivation and GoalThe spot electricity market is a public financial market where electricity is traded on a short-term basis. It is organized as a sequence of markets, generally including a day-ahead (DA) market, several intraday (ID) markets and a balancing market (BM). In parallel, ancillary services markets are required to guarantee the secure operation of the grid in case of serious system contingencies. The spot market is gaining more and more importance, since it ensures the short-term optimization of procurement and supports the efficient integration of non-dispatchable energy resources in power markets. In recent years, the penetration of distributed energy resources (DERs), which are mainly renewable energy resources, has increased dramatically. However, DERs' participation in the market is still challenging due to the restrictions imposed by market regulations, their intermittent and uncertain nature and the lack of communication and cooperation among different DERs and system operators. These factors thus limit DERs' contributions to system operations and can cause high imbalance costs and low overall energy efficiency.In order to fully utilize the value of flexibility potential of different DERs and enable them to engage in sequential electricity markets, coordinated dispatch and trading strategies at an aggregation level are of great interest. B. Related Works and ContributionsA lot of work has been done in the field of optimal trading in sequential short-term markets, but most of them focuses on a single producer's point of view and on designing optimal trading strategies either for large-scale wind power plants or for wind producers coordinated only with energy storage

Strategic wind power investment in competitive electricity markets considering the possibility of participation in intraday market

“…The DA market is cleared at 11:00 the day-1, while the ID market is cleared continuously until 1 h prior to the time of power delivery. According to [7,28] that have studied the offering strategy of a strategic producer, which contributes to the Swiss ID electricity market, a single ID auction, cleared at 23:00 day-1, is considered. Finally, the balancing market is cleared after the realisations of supply and demand.…”

“…In addition, since the amount of energy traded in the Swiss DA market is much more than that of the ID market, demands corresponding to the DA and the ID markets are assumed equal to 90 and 10% of the total demand, respectively, [7,27,28]. To attain adequate balancing market scenarios related to each cluster, ten balancing market prices are considered for each market clearing condition.…”

“…Rivals for the ID market are assumed to be the same as that for the DA market. As the amount of energy traded in the DA market is much more than that of the ID market, the maximum rivals' offering quantities in the ID market are assumed to be 10% of that for DA and ID market [7,27,28]. Furthermore, we consider a 10% uncertain difference on the rivals' offering quantities in the ID market corresponding to each updated wind power capacity factor scenarios at the stage of the ID market.…”

Distributionally Robust Generation Expansion Planning Model Considering RES Integrations

“…In this paper, questions concerning the optimal decentralized generation mix for a distribution system are addressed, considering uncertainties of variable generation units' outputs and demand forecasts. Similar to previous work [9], in order to compensate the imbalances caused by variable generation units, to enhance the efficiency of electricity utilization and to contribute to flexibility provisions, the characteristics of diverse units are aggregated into a single entity (i.e. aggregator).…”

Joint Investment and Operation Optimization of a Distribution System in a Market Environment

“…PROBLEM DESCRIPTION In this paper, questions concerning the optimal decentralized generation mix for a distribution system are addressed, considering DERs' participation in reserve and energy markets. Similar to previous work [13], the aggregator which can also be a distribution system operator, is modeled as a cluster of storage devices, loads and dispatchable and variable generation units. It integrates the characteristics of diverse units into a single entity and generates a single dispatch portfolio.…”