Hedging Strategies for Heat and Electricity Consumers in the Presence of Real-Time Demand Response Programs

Real-time pricing (RTP) is a component of some demand response programs (DRPs) in electricity markets. This paper proposes a real-time price-based demand response management model for heat and power consumers. In the proposed DRP, the responsive electrical load can vary in different time intervals. Real-time price risk can be shared among market participants sensibly by implementing several RTP hedge contracts. In this context, supply sources include energy from the real-time market, self-production facilities, as well as RTP hedge contract instruments. The model is introduced for electricity consumers equipped with combined heat and power systems, power-only unit, boiler unit, and heat buffer tank. Optimal hedging strategies, including hedge contract choices and hedged load percentages, can be acquired by solving the model. The proposed model makes it possible to achieve minimum energy cost while considering uncertainties in real-time electricity prices. The price uncertainty is addressed through robust optimization for minimizing the worst case electricity and heat demand procurement cost while flexibly adjusting the solution robustness. Numerical simulations are provided, which confirm the applicability and effectiveness of the proposed model.