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595. Optimal participation of wind producers in the continuous intraday market: a multi-stage stochastic approach

Invited abstract in session MB-19: OR in Electricity Markets, stream OR in Energy.

Monday, 10:30-12:00
Room: 44 (building: 116)

Authors (first author is the speaker)

1. Ruth Dominguez
Economics and Management, University of Brescia
2. Miguel Carrión
Electrical Engineering, Universidad de Castilla - La Mancha
3. Giorgia Oggioni
Department of Economics and Management, University of Brescia, Italy

Abstract

Flexible mechanisms, in terms of both hardware and market rules, are required to ensure the economic, technical, and environmental sustainability of renewable-dominated electric energy systems. Short-term markets such as intraday markets are very important for wind and solar photovoltaic producers since the prediction of their power generation is more trustable just a few hours ahead of the actual energy supply. In this work, we tackle the problem of a wind power generator that aims at deciding the offers to be made in the continuous intraday market taking into account the possibility of participating in consecutive trading floors, such as in the auction-based intraday market and the balancing market. The model is formulated as a multi-stage stochastic programming problem considering the uncertainty of the wind power availability, the electricity prices in each trading floor, and the probability of acceptance of the offers in the continuous market. The CVaR is introduced in the formulation to control the risk level of the solution. The model is tested with real data from the Spanish power system. The scenarios of wind power at each decision stage are generated considering the evolution of the forecast error distribution according to the time spanning between the offering and the delivery time. Numerical results of different sensitivity analyses will be presented.

Keywords

Status: accepted

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