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Trading Stochastic Production in Electricity Pools

In: Integrating Renewables in Electricity Markets

Author

Listed:
  • Juan M. Morales

    (Technical University of Denmark)

  • Antonio J. Conejo

    (University of Castilla – La Mancha)

  • Henrik Madsen

    (Technical University of Denmark)

  • Pierre Pinson

    (Technical University of Denmark)

  • Marco Zugno

    (Technical University of Denmark)

Abstract

Renewable electricity producers must trade in day-ahead electricity markets in the same manner as conventional producers. However, their power production may be highly unpredictable and nondispatchable. This is the case, for example, of wind and solar power producers, which thus need to use the balancing market to mend eventual deviations with respect to their day-ahead schedule. This chapter presents close formulae to determine the optimal offering strategy of stochastic producers in the day-ahead market. The analytical solution to these formulae is available under certain assumptions on the probabilistic structure characterizing power production and market prices. Stochastic programming is then introduced as a powerful mathematical framework to rid the solution to the trading problem for stochastic producers of these simplifying assumptions.

Suggested Citation

  • Juan M. Morales & Antonio J. Conejo & Henrik Madsen & Pierre Pinson & Marco Zugno, 2014. "Trading Stochastic Production in Electricity Pools," International Series in Operations Research & Management Science, in: Integrating Renewables in Electricity Markets, edition 127, chapter 7, pages 205-242, Springer.
    • Handle: RePEc:spr:isochp:978-1-4614-9411-9_7
    DOI: 10.1007/978-1-4614-9411-9_7
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    Citations

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    Cited by:

    1. Esmaeili Aliabadi, Danial & Kaya, Murat & Sahin, Guvenc, 2017. "Competition, risk and learning in electricity markets: An agent-based simulation study," Applied Energy, Elsevier, vol. 195(C), pages 1000-1011.
    2. Endemaño-Ventura, Lázaro & Serrano González, Javier & Roldán Fernández, Juan Manuel & Burgos Payán, Manuel & Riquelme Santos, Jesús Manuel, 2021. "Optimal energy bidding for renewable plants: A practical application to an actual wind farm in Spain," Renewable Energy, Elsevier, vol. 175(C), pages 1111-1126.

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