Developing Bidding and Offering Curves of a Price-Maker Energy Storage Facility Based on Robust Optimization

This paper presents an algorithm to construct hourly bidding and offering curves to purchase and sell electricity for a price-maker merchant energy storage facility participating in a day-ahead electricity market. Hourly generation and demand price quota curves (GPQCs and DPQCs) are used to model the price impact of storage operation in the participation strategy problem of a price-maker storage facility in the market. This paper introduces a max-min mixed-integer linear programming model to present a participation strategy to manage the risk of uncertainty associated with forecasted GPQCs and DPQCs by robust optimization. The max-min formulation is converted to its equivalent linear maximization formulation based on the worst case scenario during charging and discharging hours. Then, an algorithm is proposed to build hourly bidding and offering curves. To do so, the confidence intervals for GPQCs and DPQCs are divided into subintervals and the robust mixed-integer linear formulation is solved sequentially for each subinterval of GPQCs and DPQCs. Sequential constraints are applied to ensure the decreasing and increasing nature of the bidding and offering curves, respectively. Then, hourly bidding and offering curves are built based on the obtained scheduling and corresponding price results. The proposed bidding and offering strategy is presented and validated using numerical simulations.