A New Robust Bidding Approach for Wind Power Producers Participating in Competitive Power Markets with Correlated Market Prices

Daneshvari, Hamed; Shafaei, Rasoul

doi:10.24200/sci.2022.57750.5400

A New Robust Bidding Approach for Wind Power Producers Participating in Competitive Power Markets with Correlated Market Prices

Articles in Press

Document Type : Research Article

Authors

Hamed Daneshvari

Rasoul Shafaei

Department of Industrial Engineering, K.N.Toosi University of Technology

10.24200/sci.2022.57750.5400

Abstract

In this research, a bidding problem for a wind-power plant participating in a day-ahead power market with uncertain correlated market prices is studied. A new robust optimization approach considering correlation among uncertainty on the hourly prices in a day-ahead market is developed. This results in solutions with lower level of over-conservatism. For this purpose a new correlated polyhedral uncertainty set is introduced. To consider the uncertainty of market clearing prices and the value of power produced by wind power producer a bidding algorithm is developed. Results of the study using a robust modelling the bidding problem reveal that the appliance of the proposed model on the bidding problem for a price-taker wind power plant in a day-ahead market with uncertain correlated data leads to solutions with superior performance than that of the conventional polyhedral uncertainty sets.

Keywords

Wind power producer

Bidding problem

Robust optimization

Uncertainty set

Correlated market price

Subjects