Bidding strategy of a micro grid for the day-ahead energy and spinning reserve markets: the problem formulation

The paper is addressed to the construction of an optimally bidding for a Micro Grid (MG) that takes part to both day-ahead energy and spinning reserve markets. The work shows that the decision about the amount of power to offer, related to the expected prices and different risk tolerances, must be taken contextually through a joint approach. For that purpose, an optimization problem is formulated. In order to help the decision maker to understand the potential impact of different sub-optimal choices, the model evaluates also the risk associated with the uncertainty of variable power to offer in the both markets. The risk associated is evaluated by the expected utility theory that takes into account the attitude of individuals with regard to risk (adversion, neutrality or propensity) to make decision that minimize negative returns. The effectiveness of the proposed model is assessed through the analysis of a MG composed by traditional power plants, combined heat and power (CHP) plants, and heat production plants (boilers). The presence of storages systems is also accounted for. Moreover, it is considered that both generators and loads can take part in the reserve market and the demand participation happens through both shiftable and curtailable loads.