Strategic bidding of an energy storage agent in a joint energy and reserve market under stochastic generation

Christos N. Dimitriadis, Evangelos G. Tsimopoulos and Michael C. Georgiadis

Energy, 2022, vol. 242, issue C

Abstract: This work presents a bi-level optimization model for a price-maker energy storage agent, to determine the optimal hourly offering/bidding strategies in pool-based markets, under wind power generation uncertainty. The upper-level problem aims at maximizing storage agent's expected profits, whereas at the lower-level problem, a two-stage sequential market clearing procedure takes place. The first stage refers to a jointly cleared energy and reserve day-ahead market, deriving the optimal quantities for energy dispatch and reserve procurement, while at the second stage, a real-time energy-only market settlement is realized, considering plausible wind power generation scenarios. Real-time decisions include activated upward and downward reserves, already procured in the day-ahead market. The bi-level model is initially transformed into a mathematical program with equilibrium constraints -by recasting the lower-level problem using its Karush-Kuhn-Tucker optimality conditions-, which is further reduced into a mixed integer linear program. The proposed mathematical framework is applied to a 6-bus power grid, incurred by network transmission constraints. Numerical simulations illustrate an explicit perspective of the potential arbitrage opportunities for the storage agent, when acting strategically in energy and reserve markets, under wind generation increment scenarios and plausible transmission line congestions.

Keywords: Mathematical problem with equilibrium constraints; Energy storage; Joint electricity-reserve market clearing; Reserve activation; Network congestions; Wind power generation uncertainty (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:242:y:2022:i:c:s0360544221032758

DOI: 10.1016/j.energy.2021.123026

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