Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach

Energies

Perica Ilak¹  Slavko Krajcar²  Ivan Rajšl² 

[1] Faculty of Electrical Engineering and Computing, University of Zagreb, Unska 3, Zagreb HR-10000, Croatia;

关键词: hydropower plant;    opportunity cost;    water shadow price;    day-ahead market;    risk-aversion;    conditional value at risk;    ancillary services;   

DOI  :  10.3390/en7042317

来源: mdpi

【 摘 要 】

This paper analyzes a price-taker hydro generating company which participates simultaneously in day-ahead energy and ancillary services markets. An approach for deriving marginal cost curves for energy and ancillary services is proposed, taking into consideration price uncertainty and opportunity cost of water, which can later be used to determine hourly bid curves. The proposed approach combines an hourly conditional value-at-risk, probability of occurrence of automatic generation control states and an opportunity cost of water to determine energy and ancillary services marginal cost curves. The proposed approach is in a linear constraint form and is easy to implement in optimization problems. A stochastic model of the hydro-economic river basin is presented, based on the actual Vinodol hydropower system in Croatia, with a complex three-dimensional relationship between the power produced, the discharged water, and the head of associated reservoir.

【 授权许可】

CC BY   
© 2014 by the authors; licensee MDPI, Basel, Switzerland