Optimal Bidding Strategy for a Wind Power Producer in the Energy and Spinning Reserve Markets

• Published in: 2021 North American Power Symposium (NAPS) pp. 01 - 06
• Main Authors: Stratman, Anne, Qiao, Wei, Qu, Liyan
• Format: Conference Proceeding
• Language: English
• Published: IEEE 14.11.2021
• Subjects: bidding strategy; day-ahead market; Probability distribution; Production; Real-time systems; Renewable energy sources; reserve market; Stochastic processes; stochastic programming; Uncertainty; Wind power generation; wind power producer (WPP)
• DOI: 10.1109/NAPS52732.2021.9654493

Wind power is one of the world's fastest-growing renewable energy resources. To achieve high levels of wind power penetration in the power supply, it will be necessary for wind power producers (WPPs) to contribute to system-wide reserves. This paper proposes a stochastic optimization model to determine the optimal offer strategy for a WPP that participates in the day-ahead and real-time energy and spinning reserve markets. The objective function maximizes the WPP's total expected profit while minimizing risk by allowing the WPP to split day-ahead offers between the energy and spinning reserve markets, which have lower penalties than the energy market for failing to deliver the cleared day-ahead offer. The model is solved using the simplex method, and hourly offer curves are generated for several levels of risk-aversion. Case study results show that the proposed offer strategy increases expected profit and significantly decreases risk compared to the case where the WPP only participates in the energy market.