کلیدواژهها
|
optimal bidding strategy, information gap decision theory
(IGDT), joint market of energy and reserve, price uncertainty, Mixed-Integer
Quadratic Constrained Program (MIQCP), risk-averse, risk-taking
|
چکیده
|
This paper presents an optimal bidding strategy for pricetaker generation companies (GenCos), which participate in a dayahead joint energy and reserve market. Moreover, this problem is formulated as a Mixed-Integer Quadratic Constrained Program (MIQCP)
to maximize the profit. Also, the price uncertainties of energy and
reserve markets prices have direct impacts on the expected profit and
bidding curves. This optimization problem is modeled with utilization
of information gap decision theory (IGDT) for optimizing robustness
to failure—or opportunity to windfall—under uncertainty conditions.
IGDT assesses the robustness/opportunity of bidding strategy in the
face of price uncertainties to determine whether a decision is riskaverse or risk-taking. Correlations among the prices of energy and reserve markets are properly modeled based on the concept of weighted
average squared error using a variance–covariance matrix. It is shown
that the risk-averse decisions, as well as risk-taking decisions, will
affect both expected profit and bidding curves. The proposed method
is verified in simulation studies on a GenCo comprising 5-unit thermal that participates in a day-ahead joint energy and reserve markets.
Also, the proposed model is applied to a 54-unit thermal GenCo
of IEEE-118 bus to validate the computational effectiveness of the
proposed model in large system.
|