A hybrid stochastic-robust optimisation framework for compressed air energy storage (CAES) independent owners is
proposed to provide optimal bids and offers in both day-ahead (DA) and real-time (RT) energy arbitrage markets. The RT
energy market has an excellent opportunity for energy arbitrage, but there are few works which consider this trading. To deal
with uncertain characteristics of market prices in the presented study, for DA market stochastic programming (SP) is proposed;
however, for RT stage the uncertainty and volatility of electricity price are managed by robust optimisation approach (ROA), and
the CAES owner will be safe against undesired price fluctuations. At first, the optimal scheduling of CAES is investigated in the
DA market considering price scenarios. After the DA market realisation, additional bids and offers at RT stage will be
determined. The proposed optimisation is modelled mathematically as mixed integer linear programming (MIP) and handled by
GAMS optimisation software. Using ROA, participation in the RT market can increase the profit of the CAES units. The gained
profit in RT market is directly related to robustness level and is selected by decision maker.