Journal
IEEE TRANSACTIONS ON SUSTAINABLE ENERGY
Volume 6, Issue 3, Pages 707-719Publisher
IEEE-INST ELECTRICAL ELECTRONICS ENGINEERS INC
DOI: 10.1109/TSTE.2015.2406322
Keywords
Bidding strategy; electricity market; mathematical program with equilibrium constraints (MPEC); stochastic optimization; wind power producer
Categories
Funding
- U.S. National Science Foundation [ECCS-0954938]
- Div Of Electrical, Commun & Cyber Sys
- Directorate For Engineering [0954938] Funding Source: National Science Foundation
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Wind energy is a clean and renewable energy source which is rapidly growing globally. As the penetration level of wind power grows, the system operators need to consider wind power producers as strategic producers whose bidding behaviors will have an impact on the locational marginal prices. This paper proposes a bilevel stochastic optimization model to obtain the optimal bidding strategy for a strategic wind power producer in the short-term electricity market. The upper level problem of the model maximizes the profit of the wind power producer, while the lower level problem represents the market clearing processes of both day-ahead and real-time markets. The uncertainties in the demand, the wind power production, and the bidding strategies of the strategic conventional power producers are represented by scenarios in the model. The conditional value at risk of the selected worst scenarios is included in the objective function for managing the risk due to uncertainties. Using the duality theory and Karush-Kuhn-Tucker condition, the bilevel model is transferred into a mixed-integer linear problem. Case studies are performed to show the effectiveness of the proposed model.
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