Abstract
Trading of wind energy in day-ahead electricity markets entails significant risks. Wind traders are, therefore, interested in mitigating their trading risks in a number of ways. This work suggests addressing this issue in a comprehensive manner by coordinating the trading of wind resources with thermal resources and a pumped-hydro storage system (PHS) and co-optimizing the trading in energy and regulation markets. The trading strategy is modeled as a mixed integer linear stochastic program that takes into account several uncertain parameters, including wind power outputs, prices for energy, balancing, and regulation, and regulation deployments. In this optimization, the trader's attitude toward risks is controlled by using the metric of conditional value at risk (CVaR). Simulation results show that coordinated and co-optimized trading of the generation resources and PHS significantly improve the total expected profits and mitigates trader's risks.
| Original language | English |
|---|---|
| Pages (from-to) | 991-1005 |
| Number of pages | 15 |
| Journal | Energy |
| Volume | 138 |
| DOIs | |
| State | Published - 2017 |
Bibliographical note
Publisher Copyright:© 2017 Elsevier Ltd
Keywords
- Coordination
- Mixed integer linear program
- Pumped-hydro storage system (PHS)
- Regulation market
- Risk
- Stochastic programming
- Wind-thermal generation
ASJC Scopus subject areas
- Civil and Structural Engineering
- Modeling and Simulation
- Renewable Energy, Sustainability and the Environment
- Building and Construction
- Fuel Technology
- Energy Engineering and Power Technology
- Pollution
- Mechanical Engineering
- General Energy
- Management, Monitoring, Policy and Law
- Industrial and Manufacturing Engineering
- Electrical and Electronic Engineering
