IDEAS home Printed from https://ideas.repec.org/a/eee/appene/v292y2021ics0306261921003706.html
   My bibliography  Save this article

Two-stage stochastic optimization frameworks to aid in decision-making under uncertainty for variable resource generators participating in a sequential energy market

Author

Listed:
  • Al-Lawati, Razan A.H.
  • Crespo-Vazquez, Jose L.
  • Faiz, Tasnim Ibn
  • Fang, Xin
  • Noor-E-Alam, Md.

Abstract

Decisions for a variable renewable resource generator’s commitment in the energy market are typically made in advance when little information is obtainable about wind availability and market prices. Much research has been published recommending various frameworks for addressing this issue. However, these frameworks are limited as they do not consider all markets a producer can participate in. Moreover, current stochastic programming models do not allow for uncertainty data to be updated as more accurate information becomes available. This work proposes two decision-making frameworks for a wind energy generator participating in day-ahead, intraday, reserve, and balancing markets. The first framework is a two-stage stochastic convex optimization approach, where both scenario-independent and scenario-dependent decisions are made concurrently. The second framework is a series of four two-stage stochastic optimization models wherein the results from each model feed into each subsequent model allowing for scenarios to be updated as more information becomes available to the decision-maker. In the simulation experiments, the multi-phase framework performs better than the single-phase in every run, and results in an average profit increase of 7%. The proposed optimization frameworks aid in better decision-making while addressing uncertainty related to variable resource generators and maximize the return on investment.

Suggested Citation

  • Al-Lawati, Razan A.H. & Crespo-Vazquez, Jose L. & Faiz, Tasnim Ibn & Fang, Xin & Noor-E-Alam, Md., 2021. "Two-stage stochastic optimization frameworks to aid in decision-making under uncertainty for variable resource generators participating in a sequential energy market," Applied Energy, Elsevier, vol. 292(C).
    • Handle: RePEc:eee:appene:v:292:y:2021:i:c:s0306261921003706
    DOI: 10.1016/j.apenergy.2021.116882
    as

    Download full text from publisher

    File URL: http://www.sciencedirect.com/science/article/pii/S0306261921003706
    Download Restriction: Full text for ScienceDirect subscribers only
    File URL: https://libkey.io/10.1016/j.apenergy.2021.116882?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Motamedi Sedeh, Omid & Ostadi, Bakhtiar, 2020. "Optimization of bidding strategy in the day-ahead market by consideration of seasonality trend of the market spot price," Energy Policy, Elsevier, vol. 145(C).
    2. Katarzyna Maciejowska & Weronika Nitka & Tomasz Weron, 2019. "Day-Ahead vs. Intraday—Forecasting the Price Spread to Maximize Economic Benefits," Energies, MDPI, vol. 12(4), pages 1-15, February.
    3. Gomes, I.L.R. & Pousinho, H.M.I. & Melício, R. & Mendes, V.M.F., 2017. "Stochastic coordination of joint wind and photovoltaic systems with energy storage in day-ahead market," Energy, Elsevier, vol. 124(C), pages 310-320.
    4. Borne, Olivier & Korte, Klaas & Perez, Yannick & Petit, Marc & Purkus, Alexandra, 2018. "Barriers to entry in frequency-regulation services markets: Review of the status quo and options for improvements," Renewable and Sustainable Energy Reviews, Elsevier, vol. 81(P1), pages 605-614.
    5. Olivier Borne & Klaas Korte & Yannick Perez & Marc Petit & Alexandra Purkus, 2018. "Barriers to entry in frequency-regulation services markets: Review of the status quo and options for improvements," Post-Print hal-01660475, HAL.
    6. Yuwei Wang & Huiru Zhao & Peng Li, 2019. "Optimal Offering and Operating Strategies for Wind-Storage System Participating in Spot Electricity Markets with Progressive Stochastic-Robust Hybrid Optimization Model Series," Mathematical Problems in Engineering, Hindawi, vol. 2019, pages 1-19, July.
    7. Liu, Ye & Wu, Xiaogang & Du, Jiuyu & Song, Ziyou & Wu, Guoliang, 2020. "Optimal sizing of a wind-energy storage system considering battery life," Renewable Energy, Elsevier, vol. 147(P1), pages 2470-2483.
    8. Koch, Christopher & Hirth, Lion, 2019. "Short-term electricity trading for system balancing: An empirical analysis of the role of intraday trading in balancing Germany's electricity system," Renewable and Sustainable Energy Reviews, Elsevier, vol. 113(C), pages 1-1.
    9. Al-Swaiti, Mustafa S. & Al-Awami, Ali T. & Khalid, Mohammad Waqas, 2017. "Co-optimized trading of wind-thermal-pumped storage system in energy and regulation markets," Energy, Elsevier, vol. 138(C), pages 991-1005.
    10. Boomsma, Trine Krogh & Juul, Nina & Fleten, Stein-Erik, 2014. "Bidding in sequential electricity markets: The Nordic case," European Journal of Operational Research, Elsevier, vol. 238(3), pages 797-809.
    11. Fernandes, Camila & Frías, Pablo & Reneses, Javier, 2016. "Participation of intermittent renewable generators in balancing mechanisms: A closer look into the Spanish market design," Renewable Energy, Elsevier, vol. 89(C), pages 305-316.
    12. Jun Dong & Anyuan Fu & Yao Liu & Shilin Nie & Peiwen Yang & Linpeng Nie, 2019. "Two-Stage Optimization Model for Two-Side Daily Reserve Capacity of a Power System Considering Demand Response and Wind Power Consumption," Sustainability, MDPI, vol. 11(24), pages 1-22, December.
    13. Crespo-Vazquez, Jose L. & Carrillo, C. & Diaz-Dorado, E. & Martinez-Lorenzo, Jose A. & Noor-E-Alam, Md, 2018. "Evaluation of a data driven stochastic approach to optimize the participation of a wind and storage power plant in day-ahead and reserve markets," Energy, Elsevier, vol. 156(C), pages 278-291.
    14. Klaus Skytte & Lucien Bobo, 2019. "Increasing the value of wind: From passive to active actors in multiple power markets," Wiley Interdisciplinary Reviews: Energy and Environment, Wiley Blackwell, vol. 8(3), May.
    15. Crespo-Vazquez, Jose L. & Carrillo, C. & Diaz-Dorado, E. & Martinez-Lorenzo, Jose A. & Noor-E-Alam, Md., 2018. "A machine learning based stochastic optimization framework for a wind and storage power plant participating in energy pool market," Applied Energy, Elsevier, vol. 232(C), pages 341-357.
    16. Xu, Bin & Zhu, Feilin & Zhong, Ping-an & Chen, Juan & Liu, Weifeng & Ma, Yufei & Guo, Le & Deng, Xiaoliang, 2019. "Identifying long-term effects of using hydropower to complement wind power uncertainty through stochastic programming," Applied Energy, Elsevier, vol. 253(C), pages 1-1.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Silva, Ana R. & Pousinho, H.M.I. & Estanqueiro, Ana, 2022. "A multistage stochastic approach for the optimal bidding of variable renewable energy in the day-ahead, intraday and balancing markets," Energy, Elsevier, vol. 258(C).
    2. Hohl, Cody & Lo Prete, Chiara & Radhakrishnan, Ashish & Webster, Mort, 2023. "Intraday markets, wind integration and uplift payments in a regional U.S. power system," Energy Policy, Elsevier, vol. 175(C).
    3. Silva-Rodriguez, Lina & Sanjab, Anibal & Fumagalli, Elena & Gibescu, Madeleine, 2024. "Light robust co-optimization of energy and reserves in the day-ahead electricity market," Applied Energy, Elsevier, vol. 353(PA).
    4. Xiong, Houbo & Zhou, Yue & Guo, Chuangxin & Ding, Yi & Luo, Fengji, 2023. "Multi-stage risk-based assessment for wind energy accommodation capability: A robust and non-anticipative method," Applied Energy, Elsevier, vol. 350(C).
    5. Fusco, Andrea & Gioffrè, Domenico & Francesco Castelli, Alessandro & Bovo, Cristian & Martelli, Emanuele, 2023. "A multi-stage stochastic programming model for the unit commitment of conventional and virtual power plants bidding in the day-ahead and ancillary services markets," Applied Energy, Elsevier, vol. 336(C).
    6. Rujie Zhu & Kaushik Das & Poul Ejnar Sørensen & Anca Daniela Hansen, 2023. "Optimal Participation of Co-Located Wind–Battery Plants in Sequential Electricity Markets," Energies, MDPI, vol. 16(15), pages 1-17, July.
    7. Cao, Jiaxin & Yang, Bo & Zhu, Shanying & Chung, Chi Yung & Guan, Xinping, 2022. "Multi-level coordinated energy management for energy hub in hybrid markets with distributionally robust scheduling," Applied Energy, Elsevier, vol. 311(C).

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Díaz, Guzmán & Coto, José & Gómez-Aleixandre, Javier, 2019. "Optimal operation value of combined wind power and energy storage in multi-stage electricity markets," Applied Energy, Elsevier, vol. 235(C), pages 1153-1168.
    2. Schillinger, Moritz, 2020. "Balancing-market design and opportunity cost: The Swiss case," Utilities Policy, Elsevier, vol. 64(C).
    3. Rujie Zhu & Kaushik Das & Poul Ejnar Sørensen & Anca Daniela Hansen, 2023. "Optimal Participation of Co-Located Wind–Battery Plants in Sequential Electricity Markets," Energies, MDPI, vol. 16(15), pages 1-17, July.
    4. Crespo-Vazquez, Jose L. & Carrillo, C. & Diaz-Dorado, E. & Martinez-Lorenzo, Jose A. & Noor-E-Alam, Md., 2018. "A machine learning based stochastic optimization framework for a wind and storage power plant participating in energy pool market," Applied Energy, Elsevier, vol. 232(C), pages 341-357.
    5. Poplavskaya, Ksenia & Lago, Jesus & Strömer, Stefan & de Vries, Laurens, 2021. "Making the most of short-term flexibility in the balancing market: Opportunities and challenges of voluntary bids in the new balancing market design," Energy Policy, Elsevier, vol. 158(C).
    6. Rancilio, G. & Rossi, A. & Falabretti, D. & Galliani, A. & Merlo, M., 2022. "Ancillary services markets in europe: Evolution and regulatory trade-offs," Renewable and Sustainable Energy Reviews, Elsevier, vol. 154(C).
    7. Schillinger, Moritz, 2019. "Balancing Market Design and Opportunity Cost - The Swiss Case," Working papers 2019/14, Faculty of Business and Economics - University of Basel.
    8. Karl-Martin Ehrhart & Fabian Ocker, 2021. "Design and regulation of balancing power auctions: an integrated market model approach," Journal of Regulatory Economics, Springer, vol. 60(1), pages 55-73, August.
    9. Karakoyun, Ece Cigdem & Avci, Harun & Kocaman, Ayse Selin & Nadar, Emre, 2023. "Deviations from commitments: Markov decision process formulations for the role of energy storage," International Journal of Production Economics, Elsevier, vol. 255(C).
    10. Benedikt Finnah, 2022. "Optimal bidding functions for renewable energies in sequential electricity markets," OR Spectrum: Quantitative Approaches in Management, Springer;Gesellschaft für Operations Research e.V., vol. 44(1), pages 1-27, March.
    11. Finnah, Benedikt & Gönsch, Jochen & Ziel, Florian, 2022. "Integrated day-ahead and intraday self-schedule bidding for energy storage systems using approximate dynamic programming," European Journal of Operational Research, Elsevier, vol. 301(2), pages 726-746.
    12. Katarzyna Maciejowska, 2022. "A portfolio management of a small RES utility with a Structural Vector Autoregressive model of German electricity markets," Papers 2205.00975, arXiv.org.
    13. Poplavskaya, Ksenia & de Vries, Laurens, 2019. "Distributed energy resources and the organized balancing market: A symbiosis yet? Case of three European balancing markets," Energy Policy, Elsevier, vol. 126(C), pages 264-276.
    14. Freitas Gomes, Icaro Silvestre & Perez, Yannick & Suomalainen, Emilia, 2020. "Coupling small batteries and PV generation: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 126(C).
    15. Kristina Pandžić & Ivan Pavić & Ivan Andročec & Hrvoje Pandžić, 2020. "Optimal Battery Storage Participation in European Energy and Reserves Markets," Energies, MDPI, vol. 13(24), pages 1-21, December.
    16. Hoarau, Quentin & Perez, Yannick, 2018. "Interactions between electric mobility and photovoltaic generation: A review," Renewable and Sustainable Energy Reviews, Elsevier, vol. 94(C), pages 510-522.
    17. Thompson, Andrew W. & Perez, Yannick, 2020. "Vehicle-to-Everything (V2X) energy services, value streams, and regulatory policy implications," Energy Policy, Elsevier, vol. 137(C).
    18. Maciejowska, Katarzyna & Nitka, Weronika & Weron, Tomasz, 2021. "Enhancing load, wind and solar generation for day-ahead forecasting of electricity prices," Energy Economics, Elsevier, vol. 99(C).
    19. Maria Gracia Rodríguez-Brito & Alfredo J. Ramírez-Díaz & Francisco J. Ramos-Real & Yannick Perez, 2018. "Psychosocial Traits Characterizing EV Adopters’ Profiles: The Case of Tenerife (Canary Islands)," Sustainability, MDPI, vol. 10(6), pages 1-26, June.
    20. Heendeniya, Charitha Buddhika & Sumper, Andreas & Eicker, Ursula, 2020. "The multi-energy system co-planning of nearly zero-energy districts – Status-quo and future research potential," Applied Energy, Elsevier, vol. 267(C).

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:eee:appene:v:292:y:2021:i:c:s0306261921003706. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Catherine Liu (email available below). General contact details of provider: http://www.elsevier.com/wps/find/journaldescription.cws_home/405891/description#description .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.