Price-Maker Wind Power Producer Participating in a Joint Day-Ahead and Real-Time Market

Research output: Chapter in Book/Report/Conference proceedingArticle in proceedings – Annual report year: 2015Researchpeer-review

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The large scale integration of stochastic renewable energy introduces significant challenges for power system operators and disputes the efficiency of the current market design. Recent research embeds the uncertain nature of renewable sources by modelling electricity markets as a two-stage stochastic problem, co-optimizing day-ahead and real-time dispatch. In this framework, we introduce a bilevel model to derive the optimal bid of a strategic wind power producer acting as price-maker both in day-ahead and real-time stages. The proposed model is a Mathematical Program with Equilibrium Constraints (MPEC) that is reformulated as a single-level Mixed-Integer Linear Program (MILP), which can be readily solved. Our analysis shows that adopting strategic behaviour may improve producer’s expected profit as the share of wind power increases. However, this incentive diminishes in power systems where available flexible capacity is high enough to ensure an efficient market operation.
Original languageEnglish
Title of host publicationProceedings of 12th IEEE International Conference European Energy Market 2015
Number of pages5
Publication date2015
Publication statusPublished - 2015
Event12th International Conference on the European Energy Market - Instituto Superior de Engenharia de Lisboa, Lisbon, Portugal
Duration: 20 May 201522 May 2015


Conference12th International Conference on the European Energy Market
LocationInstituto Superior de Engenharia de Lisboa
CitationsWeb of Science® Times Cited: No match on DOI

    Research areas

  • Electricity markets, Mathematical program with equilibrium constraints (MPEC), Price-maker, Stochastic programming, Wind power
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