Wind power bidding strategy in the short-term electricity market

This paper presents an analytical trading electricity model for wind power producers (WPPs) in the short-term electricity market in the U.S. This model addresses four specific uncertainties: real-time (RT) wind power generation, day-ahead (DA) locational marginal prices (LMPs), RT LMPs, and deviation penalty rates. The model is designed to find the optimal bidding strategy to maximize the expected revenue under these uncertainties. In addition, this paper shows that advanced forecasting techniques could be used with the proposed bidding strategy to help WPPs trade energy in short-term markets. A case study is presented to illustrate the effectiveness of this proposed bidding strategy and advanced forecasting techniques using a set of real data taken from a wind farm in the PJM electricity market.

[1]  Max Kuhn,et al.  Applied Predictive Modeling , 2013 .

[2]  George Athanasopoulos,et al.  Forecasting: principles and practice , 2013 .

[3]  Bala Venkatesh,et al.  Optimal participation and risk mitigation of wind generators in an electricity market , 2010 .

[4]  G. Strbac,et al.  Trading Wind Generation in Short-Term Energy Markets , 2002, IEEE Power Engineering Review.

[5]  J.A.P. Lopes,et al.  On the optimization of the daily operation of a wind-hydro power plant , 2004, IEEE Transactions on Power Systems.

[6]  Joao P. S. Catalao,et al.  Optimal Bidding of a Group of Wind Farms in Day-Ahead Markets Through an External Agent , 2016, IEEE Transactions on Power Systems.

[7]  Wei Qiao,et al.  Optimal bidding strategy of a strategic wind power producer in the short-term market , 2015, 2016 IEEE Power and Energy Society General Meeting (PESGM).

[8]  Joao P. S. Catalao,et al.  A stochastic programming approach for the development of offering strategies for a wind power producer , 2012 .

[9]  J. I. Muñoz,et al.  Optimal coordinated wind-hydro bidding strategies in day-ahead markets , 2013, IEEE Transactions on Power Systems.

[10]  Songyan Wang,et al.  Optimal sizing of the CAES system in a power system with high wind power penetration , 2012 .

[11]  Vladimiro Miranda,et al.  Wind Power Trading Under Uncertainty in LMP Markets , 2012, IEEE Transactions on Power Systems.

[12]  Feng Gao,et al.  Optimal Bidding Strategies for Wind Power Producers in the Day-ahead Electricity Market , 2012 .

[13]  M. Hosseini-Firouz.  Optimal offering strategy considering the risk management for wind power producers in electricity market , 2013 .

[14]  Antonio J. Conejo,et al.  Short-Term Trading for a Wind Power Producer , 2010 .

[15]  A. Conejo,et al.  Offering Strategy of Wind-Power Producer: A Multi-Stage Risk-Constrained Approach , 2016, IEEE Transactions on Power Systems.

[16]  B. F. Hobbs,et al.  Opportunity Cost Bidding by Wind Generators in Forward Markets: Analytical Results , 2011, IEEE Transactions on Power Systems.

[17]  G. Strbac,et al.  Value of combining energy storage and wind in short-term energy and balancing markets , 2003 .

[18]  P. Pinson,et al.  Trading Wind Generation From Short-Term Probabilistic Forecasts of Wind Power , 2007, IEEE Transactions on Power Systems.

[19]  Giovanni Petris,et al.  Dynamic Linear Models with R , 2009 .

[20]  João P. S. Catalão,et al.  Optimal Offering Strategies for Wind Power Producers Considering Uncertainty and Risk , 2012, IEEE Systems Journal.

[21]  A. Fabbri,et al.  Assessment of the cost associated with wind generation prediction errors in a liberalized electricity market , 2005, IEEE Transactions on Power Systems.

[22]  Audun Botterud,et al.  Wind power bidding in electricity markets with high wind penetration , 2014 .