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A stochastic optimization approach to optimal bidding on dutch ancillary services markets

Puglia, Laura and Bemporad, Alberto and Jokic, Andrej and Virag, Ana A stochastic optimization approach to optimal bidding on dutch ancillary services markets. In: Proceedings of the 10th International Conference on the European Energy Market (EEM13). IEEE, pp. 1-8. (2013)

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The aim of this paper is to present a market design for trading capacity reserves (also called Ancillary Services, AS) and to introduce a strategy for the optimal bidding problem in such a scenario. In the deregulated market, the presence of several market participants or Balance Responsible Parties (BRPs) entitled for trading energy, together with the increasing integration of renewable sources and price-elastic loads, shift the focus on decentralized control and reliable forecast techniques. The main feature of the considered market design is its double-sided nature. In addition to portfolio-based supply bids and based on prediction of their stochastic production and load, BRPs are allowed to submit risk-limiting requests. Requesting capacity from the AS market corresponds to giving to the market an estimate of the possible deviation from the daily production schedule resulting from the day-ahead auction and from bilateral contracts, named E-Program. In this way each BRP is responsible for the balanced and safe operation of the electric grid. On the other hand, at each Program Time Unit (PTU) BRPs must also offer their available capacity under the form of bids. In this paper, a bidding strategy to the double-sided market is described, where the risk is minimized and all the constraints are fulfilled. The algorithms devised are tested in a simulation environment and compared to the current practice, where the double-sided auction is not contemplated. Results in terms of expected imbalances and reliability are presented.

Item Type: Book Section
Identification Number: 10.1109/EEM.2013.6607399
Projects: This work was partially supported by the European project E-PRICE: Pricebased Control of Electrical Power Systems, FP7-IST contract no. 249096
Uncontrolled Keywords: Contracts, Production, Real-time systems, Schedules, Standards, Stochastic processes, Wind forecasting
Subjects: H Social Sciences > HB Economic Theory
Q Science > QA Mathematics > QA75 Electronic computers. Computer science
Research Area: Computer Science and Applications
Depositing User: Ms T. Iannizzi
Date Deposited: 05 Mar 2014 14:26
Last Modified: 05 Mar 2014 14:26
URI: http://eprints.imtlucca.it/id/eprint/2178

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