A Unified Trading Model Based on Robust Optimization for Day-Ahead and Real-Time Markets with Wind Power Integration

Yuewen Jiang, Meisen Chen and Shi You
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Yuewen Jiang: College of Electrical Engineering and Automation, Fuzhou University, Fuzhou 350116, Fujian, China
Meisen Chen: College of Electrical Engineering and Automation, Fuzhou University, Fuzhou 350116, Fujian, China
Shi You: Energy System Operation and Management, Center for Electric Power and Energy, Department of Electrical Engineering, Technical University of Denmark, Elektrovej, 2800 Kgs. Lyngby, Denmark

Energies, 2017, vol. 10, issue 4, 1-19

Abstract: In a conventional electricity market, trading is conducted based on power forecasts in the day-ahead market, while the power imbalance is regulated in the real-time market, which is a separate trading scheme. With large-scale wind power connected into the power grid, power forecast errors increase in the day-ahead market which lowers the economic efficiency of the separate trading scheme. This paper proposes a robust unified trading model that includes the forecasts of real-time prices and imbalance power into the day-ahead trading scheme. The model is developed based on robust optimization in view of the undefined probability distribution of clearing prices of the real-time market. For the model to be used efficiently, an improved quantum-behaved particle swarm algorithm (IQPSO) is presented in the paper based on an in-depth analysis of the limitations of the static character of quantum-behaved particle swarm algorithm (QPSO). Finally, the impacts of associated parameters on the separate trading and unified trading model are analyzed to verify the superiority of the proposed model and algorithm.

Keywords: day-ahead market; improved quantum-behaved particle swarm algorithm (IQPSO); real-time market; robust optimization; unified trading model; wind power (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2017
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