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A Unified Trading Model Based on Robust Optimization for Day-Ahead and Real-Time Markets with Wind Power Integration

Author

Listed:
  • Yuewen Jiang

    (College of Electrical Engineering and Automation, Fuzhou University, Fuzhou 350116, Fujian, China)

  • Meisen Chen

    (College of Electrical Engineering and Automation, Fuzhou University, Fuzhou 350116, Fujian, China)

  • Shi You

    (Energy System Operation and Management, Center for Electric Power and Energy, Department of Electrical Engineering, Technical University of Denmark, Elektrovej, 2800 Kgs. Lyngby, Denmark)

Abstract

In a conventional electricity market, trading is conducted based on power forecasts in the day-ahead market, while the power imbalance is regulated in the real-time market, which is a separate trading scheme. With large-scale wind power connected into the power grid, power forecast errors increase in the day-ahead market which lowers the economic efficiency of the separate trading scheme. This paper proposes a robust unified trading model that includes the forecasts of real-time prices and imbalance power into the day-ahead trading scheme. The model is developed based on robust optimization in view of the undefined probability distribution of clearing prices of the real-time market. For the model to be used efficiently, an improved quantum-behaved particle swarm algorithm (IQPSO) is presented in the paper based on an in-depth analysis of the limitations of the static character of quantum-behaved particle swarm algorithm (QPSO). Finally, the impacts of associated parameters on the separate trading and unified trading model are analyzed to verify the superiority of the proposed model and algorithm.

Suggested Citation

  • Yuewen Jiang & Meisen Chen & Shi You, 2017. "A Unified Trading Model Based on Robust Optimization for Day-Ahead and Real-Time Markets with Wind Power Integration," Energies, MDPI, vol. 10(4), pages 1-19, April.
    • Handle: RePEc:gam:jeners:v:10:y:2017:i:4:p:554-:d:96095
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    References listed on IDEAS

    as
    1. Dimitris Bertsimas & Melvyn Sim, 2004. "The Price of Robustness," Operations Research, INFORMS, vol. 52(1), pages 35-53, February.
    2. Wang, Qi & Zhang, Chunyu & Ding, Yi & Xydis, George & Wang, Jianhui & Østergaard, Jacob, 2015. "Review of real-time electricity markets for integrating Distributed Energy Resources and Demand Response," Applied Energy, Elsevier, vol. 138(C), pages 695-706.
    3. Hao Bai & Shihong Miao & Xiaohong Ran & Chang Ye, 2015. "Optimal Dispatch Strategy of a Virtual Power Plant Containing Battery Switch Stations in a Unified Electricity Market," Energies, MDPI, vol. 8(3), pages 1-22, March.
    4. Farahmand, H. & Doorman, G.L., 2012. "Balancing market integration in the Northern European continent," Applied Energy, Elsevier, vol. 96(C), pages 316-326.
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