Operational Strategies for a Portfolio of Wind Farms and CHP Plants in a Two-Price Balancing Market

Anna Hellmers, Marco Zugno, Anders Skajaa, Juan Miguel Morales González

Research output: Contribution to journalJournal articleResearchpeer-review

Abstract

In this paper we explore the portfolio effect of a system consisting of a Combined Heat and Power (CHP) plant and a wind farm. The goal is to increase the overall profit of the portfolio by reducing imbalances, and consequently their implicit penalty in a two-price balancing market for electricity. We investigate two different operational strategies, which differ in whether the CHP plant and the wind farm are operated jointly or independently, and we evaluate their economic performance on a real case study based on a CHP-wind system located in the western part of Denmark. We present a comprehensive mathematical model for describing the different heat and power production units of the CHP plant, and suggest different ways of determining its operation in a setup with two trading floors: a day-ahead market and a balancing market. We build a simulation framework that runs in a rolling-horizon fashion, so that forecasts for heat demand, wind power production and market prices are updated at each iteration. We conclude that the portfolio strategy is the most profitable due to the two-price structure of the balancing market. This encourages producers to handle their imbalances outside the market.
Original languageEnglish
JournalIEEE Transactions on Power Systems
VolumePP
Issue number99
Number of pages10
ISSN0885-8950
DOIs
Publication statusPublished - 2015

Keywords

  • Optimal portfolio operation
  • Combined Heat and Power (CHP)
  • Wind power
  • Balancing market
  • Electricity market

Cite this

Hellmers, Anna ; Zugno, Marco ; Skajaa, Anders ; Morales González, Juan Miguel. / Operational Strategies for a Portfolio of Wind Farms and CHP Plants in a Two-Price Balancing Market. In: IEEE Transactions on Power Systems. 2015 ; Vol. PP, No. 99.
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title = "Operational Strategies for a Portfolio of Wind Farms and CHP Plants in a Two-Price Balancing Market",
abstract = "In this paper we explore the portfolio effect of a system consisting of a Combined Heat and Power (CHP) plant and a wind farm. The goal is to increase the overall profit of the portfolio by reducing imbalances, and consequently their implicit penalty in a two-price balancing market for electricity. We investigate two different operational strategies, which differ in whether the CHP plant and the wind farm are operated jointly or independently, and we evaluate their economic performance on a real case study based on a CHP-wind system located in the western part of Denmark. We present a comprehensive mathematical model for describing the different heat and power production units of the CHP plant, and suggest different ways of determining its operation in a setup with two trading floors: a day-ahead market and a balancing market. We build a simulation framework that runs in a rolling-horizon fashion, so that forecasts for heat demand, wind power production and market prices are updated at each iteration. We conclude that the portfolio strategy is the most profitable due to the two-price structure of the balancing market. This encourages producers to handle their imbalances outside the market.",
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author = "Anna Hellmers and Marco Zugno and Anders Skajaa and {Morales Gonz{\'a}lez}, {Juan Miguel}",
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Operational Strategies for a Portfolio of Wind Farms and CHP Plants in a Two-Price Balancing Market. / Hellmers, Anna; Zugno, Marco; Skajaa, Anders; Morales González, Juan Miguel.

In: IEEE Transactions on Power Systems, Vol. PP, No. 99, 2015.

Research output: Contribution to journalJournal articleResearchpeer-review

TY - JOUR

T1 - Operational Strategies for a Portfolio of Wind Farms and CHP Plants in a Two-Price Balancing Market

AU - Hellmers, Anna

AU - Zugno, Marco

AU - Skajaa, Anders

AU - Morales González, Juan Miguel

PY - 2015

Y1 - 2015

N2 - In this paper we explore the portfolio effect of a system consisting of a Combined Heat and Power (CHP) plant and a wind farm. The goal is to increase the overall profit of the portfolio by reducing imbalances, and consequently their implicit penalty in a two-price balancing market for electricity. We investigate two different operational strategies, which differ in whether the CHP plant and the wind farm are operated jointly or independently, and we evaluate their economic performance on a real case study based on a CHP-wind system located in the western part of Denmark. We present a comprehensive mathematical model for describing the different heat and power production units of the CHP plant, and suggest different ways of determining its operation in a setup with two trading floors: a day-ahead market and a balancing market. We build a simulation framework that runs in a rolling-horizon fashion, so that forecasts for heat demand, wind power production and market prices are updated at each iteration. We conclude that the portfolio strategy is the most profitable due to the two-price structure of the balancing market. This encourages producers to handle their imbalances outside the market.

AB - In this paper we explore the portfolio effect of a system consisting of a Combined Heat and Power (CHP) plant and a wind farm. The goal is to increase the overall profit of the portfolio by reducing imbalances, and consequently their implicit penalty in a two-price balancing market for electricity. We investigate two different operational strategies, which differ in whether the CHP plant and the wind farm are operated jointly or independently, and we evaluate their economic performance on a real case study based on a CHP-wind system located in the western part of Denmark. We present a comprehensive mathematical model for describing the different heat and power production units of the CHP plant, and suggest different ways of determining its operation in a setup with two trading floors: a day-ahead market and a balancing market. We build a simulation framework that runs in a rolling-horizon fashion, so that forecasts for heat demand, wind power production and market prices are updated at each iteration. We conclude that the portfolio strategy is the most profitable due to the two-price structure of the balancing market. This encourages producers to handle their imbalances outside the market.

KW - Optimal portfolio operation

KW - Combined Heat and Power (CHP)

KW - Wind power

KW - Balancing market

KW - Electricity market

U2 - 10.1109/TPWRS.2015.2439060

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JO - I E E E Transactions on Power Systems

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