Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach

Perica Ilak, Slavko Krajcar, Ivan Rajšl and Marko Delimar
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Perica Ilak: Faculty of Electrical Engineering and Computing, University of Zagreb, Unska 3, Zagreb HR-10000, Croatia
Slavko Krajcar: Faculty of Electrical Engineering and Computing, University of Zagreb, Unska 3, Zagreb HR-10000, Croatia
Ivan Rajšl: Faculty of Electrical Engineering and Computing, University of Zagreb, Unska 3, Zagreb HR-10000, Croatia
Marko Delimar: Faculty of Electrical Engineering and Computing, University of Zagreb, Unska 3, Zagreb HR-10000, Croatia

Energies, 2014, vol. 7, issue 4, 1-26

Abstract: This paper analyzes a price-taker hydro generating company which participates simultaneously in day-ahead energy and ancillary services markets. An approach for deriving marginal cost curves for energy and ancillary services is proposed, taking into consideration price uncertainty and opportunity cost of water, which can later be used to determine hourly bid curves. The proposed approach combines an hourly conditional value-at-risk, probability of occurrence of automatic generation control states and an opportunity cost of water to determine energy and ancillary services marginal cost curves. The proposed approach is in a linear constraint form and is easy to implement in optimization problems. A stochastic model of the hydro-economic river basin is presented, based on the actual Vinodol hydropower system in Croatia, with a complex three-dimensional relationship between the power produced, the discharged water, and the head of associated reservoir.

Keywords: hydropower plant; opportunity cost; water shadow price; day-ahead market; risk-aversion; conditional value at risk; ancillary services (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: 2014
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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