Trading Wind Generation From Short-Term Probabilistic Forecasts of Wind Power

• Published in: IEEE transactions on power systems Vol. 22; no. 3; pp. 1148 - 1156
• Main Authors: Pinson, P., Chevallier, C., Kariniotakis, G.N.
• Format: Journal Article
• Language: English
• Published: New York IEEE 01.08.2007; The Institute of Electrical and Electronics Engineers, Inc. (IEEE); Institute of Electrical and Electronics Engineers
• Subjects: Control; Costs; Decision-making; Economic forecasting; Electricity; Electricity supply industry; energy markets; Engineering Sciences; Environmental Sciences; forecasting; Markets; Mathematical models; Other; Power generation; Predictive models; Probability theory; Strategy; Studies; Uncertainty; Wind energy; Wind energy generation; Wind forecasting; Wind power; Wind power generation; Uncertainty; Strategic bidding; Wind power forecasting; Electricity markets; Probabilistic forecasting; Wind generation; Renewable energies; Day-ahead markets
• ISSN: 0885-8950; 1558-0679
• DOI: 10.1109/TPWRS.2007.901117

Due to the fluctuating nature of the wind resource, a wind power producer participating in a liberalized electricity market is subject to penalties related to regulation costs. Accurate forecasts of wind generation are therefore paramount for reducing such penalties and thus maximizing revenue. Despite the fact that increasing accuracy in spot forecasts may reduce penalties, this paper shows that, if such forecasts are accompanied with information on their uncertainty, i.e., in the form of predictive distributions, then this can be the basis for defining advanced strategies for market participation. Such strategies permit to further increase revenues and thus enhance competitiveness of wind generation compared to other forms of dispatchable generation. This paper formulates a general methodology for deriving optimal bidding strategies based on probabilistic forecasts of wind generation, as well as on modeling of the sensitivity a wind power producer may have to regulation costs. The benefits resulting from the application of these strategies are clearly demonstrated on the test case of the participation of a multi-MW wind farm in the Dutch electricity market over a year.