Strategic offers in day‐ahead market co‐optimizing energy and reserve under high penetration of wind power production: An MPEC approach

Abstract

This work based on Stackelberg hypothesis, which considers a conventional power producer exercising their dominant position in an electricity pool with high penetration of wind power production. A bi‐level optimization model is used to describe the delivery of a single settled hourly auction process. The upper‐level problem illustrates the expected profit optimization of the strategic producer whereas the lower‐level problem represents the energy‐only market clearing process through a two‐stage stochastic program. The bi‐level problem is recast into mathematical programming with equilibrium constraints (MPEC), which is then reformulated into an MILP. These transformations occur using the Karush‐Kuhn‐Tucker optimality conditions and the strong duality theory. Energy dispatch and reserve deployment are co‐optimized under various scenarios of wind production uncertainty realization. The suggested model provides optimal strategic offers and local marginal prices under different levels of wind penetration and network line transmission capacities. © 2018 American Institute of Chemical Engineers AIChE J, 65: e16495 2019

A Review on the Complementarity Modelling in Competitive Electricity Markets

“…Finally, a central conclusion of this work states that, even though the provision of market services by a wind power plant is technically feasible, it is not a common tactic in current market environments. [60] presented a bi-level optimization model to derive optimal hourly offering strategies for a conventional power producer possessing a dominant position in the pool-based electricity market, under high penetration of non-dispatchable generation. The case study pertains to a network-constrained 2-bus system, while network congestions' outcomes are also investigated, as capacity decrement of the transmission line constitutes a possible contingency.…”