Wind Power Trading under Uncertainty in LMP Markets
Autor(a) principal: | |
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Data de Publicação: | 2012 |
Outros Autores: | , , , , , |
Tipo de documento: | Artigo |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://repositorio.inesctec.pt/handle/123456789/2213 |
Resumo: | This paper presents a new model for optimal trading of wind power in day-ahead (DA) electricity markets under uncertainty in wind power and prices. The model considers settlement mechanisms in markets with locational marginal prices (LMPs), where wind power is not necessarily penalized from deviations between DA schedule and real-time (RT) dispatch. We use kernel density estimation to produce a probabilistic wind power forecast, whereas uncertainties in DA and RT prices are assumed to be Gaussian. Utility theory and conditional value at risk (CVAR) are used to represent the risk preferences of the wind power producers. The model is tested on real-world data from a large-scale wind farm in the United States. Optimal DA bids are derived under different assumptions for risk preferences and deviation penalty schemes. The results show that in the absence of a deviation penalty, the optimal bidding strategy is largely driven by price expectations. A deviation penalty brings the bid closer to |
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Wind Power Trading under Uncertainty in LMP MarketsThis paper presents a new model for optimal trading of wind power in day-ahead (DA) electricity markets under uncertainty in wind power and prices. The model considers settlement mechanisms in markets with locational marginal prices (LMPs), where wind power is not necessarily penalized from deviations between DA schedule and real-time (RT) dispatch. We use kernel density estimation to produce a probabilistic wind power forecast, whereas uncertainties in DA and RT prices are assumed to be Gaussian. Utility theory and conditional value at risk (CVAR) are used to represent the risk preferences of the wind power producers. The model is tested on real-world data from a large-scale wind farm in the United States. Optimal DA bids are derived under different assumptions for risk preferences and deviation penalty schemes. The results show that in the absence of a deviation penalty, the optimal bidding strategy is largely driven by price expectations. A deviation penalty brings the bid closer to2017-11-16T13:21:44Z2012-01-01T00:00:00Z2012info:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttp://repositorio.inesctec.pt/handle/123456789/2213engJean SumailiRicardo Jorge BessaHrvoje KekoVladimiro MirandaAudun BotterudJianhui WangZhi Zhouinfo:eu-repo/semantics/embargoedAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-05-15T10:20:53Zoai:repositorio.inesctec.pt:123456789/2213Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T17:53:46.145723Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Wind Power Trading under Uncertainty in LMP Markets |
title |
Wind Power Trading under Uncertainty in LMP Markets |
spellingShingle |
Wind Power Trading under Uncertainty in LMP Markets Jean Sumaili |
title_short |
Wind Power Trading under Uncertainty in LMP Markets |
title_full |
Wind Power Trading under Uncertainty in LMP Markets |
title_fullStr |
Wind Power Trading under Uncertainty in LMP Markets |
title_full_unstemmed |
Wind Power Trading under Uncertainty in LMP Markets |
title_sort |
Wind Power Trading under Uncertainty in LMP Markets |
author |
Jean Sumaili |
author_facet |
Jean Sumaili Ricardo Jorge Bessa Hrvoje Keko Vladimiro Miranda Audun Botterud Jianhui Wang Zhi Zhou |
author_role |
author |
author2 |
Ricardo Jorge Bessa Hrvoje Keko Vladimiro Miranda Audun Botterud Jianhui Wang Zhi Zhou |
author2_role |
author author author author author author |
dc.contributor.author.fl_str_mv |
Jean Sumaili Ricardo Jorge Bessa Hrvoje Keko Vladimiro Miranda Audun Botterud Jianhui Wang Zhi Zhou |
description |
This paper presents a new model for optimal trading of wind power in day-ahead (DA) electricity markets under uncertainty in wind power and prices. The model considers settlement mechanisms in markets with locational marginal prices (LMPs), where wind power is not necessarily penalized from deviations between DA schedule and real-time (RT) dispatch. We use kernel density estimation to produce a probabilistic wind power forecast, whereas uncertainties in DA and RT prices are assumed to be Gaussian. Utility theory and conditional value at risk (CVAR) are used to represent the risk preferences of the wind power producers. The model is tested on real-world data from a large-scale wind farm in the United States. Optimal DA bids are derived under different assumptions for risk preferences and deviation penalty schemes. The results show that in the absence of a deviation penalty, the optimal bidding strategy is largely driven by price expectations. A deviation penalty brings the bid closer to |
publishDate |
2012 |
dc.date.none.fl_str_mv |
2012-01-01T00:00:00Z 2012 2017-11-16T13:21:44Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/article |
format |
article |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://repositorio.inesctec.pt/handle/123456789/2213 |
url |
http://repositorio.inesctec.pt/handle/123456789/2213 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/embargoedAccess |
eu_rights_str_mv |
embargoedAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
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Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
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1799131611224080384 |