Evaluating risk-constrained bidding strategies in adjustment spot markets for wind power producers Articles uri icon

publication date

  • December 2012

start page

  • 703

end page

  • 711

issue

  • 1

volume

  • 43

international standard serial number (ISSN)

  • 0142-0615

electronic international standard serial number (EISSN)

  • 1879-3517

abstract

  • Participation of wind energy in the day-ahead electricity market implies large deviations from the initial schedule, which leads to costs for the wind farm owner. By means of short-term wind power prediction programs, the contracted energy can be updated in adjustment spot markets, reducing the power deviations and increasing the total revenue for wind power producers. Taking into account the different uncertainties involved in the problem, an optimal bidding strategy can be used to maximize the wind power producer revenues. As the strategy could be very risky due to all these uncertainties, a CVaR constraint for the bid that maximizes the expected revenue is proposed as a way of reducing the risk. A test-case using the Spanish market rules during a 10-month period has been used to check the potential benefits of the aforementioned strategies.

keywords

  • electricity markets ; uncertainty ; wind energy ; imbalance prices ; risk management ; cvar ; value-at-risk ; probabilistic forecasts ; electricity market ; generation ; uncertainty ; models system