Optimal Coordinated Bidding of a Profit Maximizing, Risk-Averse EV Aggregator in Three-Settlement Markets Under Uncertainty

Yelena Vardanyan and Henrik Madsen
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Yelena Vardanyan: Department for Applied Mathematics and Computer Science, Technical University of Denmark, Richard Petersens Plads, 2800 Kgs. Lyngby, Denmark
Henrik Madsen: Department for Applied Mathematics and Computer Science, Technical University of Denmark, Richard Petersens Plads, 2800 Kgs. Lyngby, Denmark

Energies, 2019, vol. 12, issue 9, 1-19

Abstract: This paper develops a two-stage stochastic and dynamically updated multi-period mixed integer linear program (SD-MILP) for optimal coordinated bidding of an electric vehicle (EV) aggregator to maximize its profit from participating in competitive day-ahead, intra-day and real-time markets. The hourly conditional value at risk (T-CVaR) is applied to model the risk of trading in different markets. The objective of two-stage SD-MILP is modeled as a convex combination of the expected profit and the T-CVaR hourly risk measure. When day-ahead, intra-day and real-time market prices and fleet mobility are uncertain, the proposed two-stage SD-MILP model yields optimal EV charging/discharging plans for day-ahead, intra-day and real-time markets at per device level. The degradation costs of EV batteries are precisely modeled. To reflect the continuous clearing nature of the intra-day and real-time markets, rolling planning is applied, which allows re-forecasting and re-dispatching. The proposed two-stage SD-MILP is used to derive a bidding curve of an aggregator managing 1000 EVs. Furthermore, the model statistics and computation time are recorded while simulating the developed algorithm with 5000 EVs.

Keywords: coordinated optimal bidding; hourly T-CVaR; risk-averse EV aggregator; stochastic optimization (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: 2019
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (4)

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