Opportunity cost bidding by wind generators in forward markets: Analytical results

IEEE Transactions on Power Systems

Volumn 26, Issue 3, 2011, Pages 1600-1608

  Dent, Chris J ^a   Bialek, Janusz W ^a   Hobbs, Benjamin F ^b,c  

^a DURHAM UNIVERSITY   (United Kingdom)

^b The Johns Hopkins University   (United States)

^c UNIVERSITY OF CAMBRIDGE   (United Kingdom)

Author keywords

Power generation economics; risk analysis; wind power generation

Indexed keywords

ANALYTICAL RESULTS; BID CURVE; CLOSED FORM; COMPUTATIONALLY EFFICIENT; ELECTRICITY MARKET; FIXED QUANTITY; FORWARD MARKET; FORWARD PRICE; FORWARD STRATEGY; IMPERFECT FORECASTS; JOINT DISTRIBUTIONS; OPPORTUNITY COSTS; OPTIMAL BIDDING STRATEGY; OPTIMAL STRATEGIES; POWER GENERATION ECONOMICS; PRODUCTION VOLUMES; REAL-TIME PRICE; SETTLEMENT PERIOD; WIND CAPACITY; WIND GENERATION; WIND GENERATORS;

COMMERCE; COST BENEFIT ANALYSIS; ELECTRIC POWER GENERATION; ELECTRIC UTILITIES; OPTIMIZATION; RISK ANALYSIS; RISK ASSESSMENT; SPECIFICATIONS; WIND POWER;

COSTS;

EID: 79960893363     PISSN: 08858950     EISSN: None     Source Type: Journal    
DOI: 10.1109/TPWRS.2010.2100412     Document Type: Article

References (27)

1. U. Helman, R. P. O'Neill, and B. F. Hobbs, "The design of U.S. wholesale energy and ancillary service auction markets: Theory and practice," in Competitive Electricity Markets: Design, Implementation, Performance, F. P. Sioshansi, Ed. New York: Elsevier, 2008.
2. Elexon, Information Sheet: Overview of System Sell and System Buy Prices, Aug. 2009. [Online]. Available: http://www.elexon.co.uk/Publications/ InformationSheets/default.aspx.
3. J. Matevosyan and L. Söder, "Minimization of imbalance cost trading wind power on the short-term power market," IEEE Trans. Power Syst., vol. 21, no. 3, pp. 1396-1404, Aug. 2006. (Pubitemid 44263534)
4. J. M. Morales, A. J. Conejo, and J. Perez-Ruiz, "Short-term trading for a wind power producer," IEEE Trans. Power Syst., vol. 25, no. 1, pp. 554-564, Feb. 2010.
5. G. Bathurst, J. Weatherill, and G. Strbac, "Trading wind generation in short term energy markets," IEEE Trans. Power Syst., vol. 17, no. 3, pp. 782-789, Aug. 2002. (Pubitemid 35151758)
6. J. B. Bremnes, "Probabilistic wind power forecasts using local quantile regression," Wind Power, vol. 7, no. 1, pp. 47-54, Jan.-Mar. 2004. (Pubitemid 40290428)
7. P. Pinson, C. Chevallier, and G. N. Kariniotakis, "Trading wind generation from short-term probabilistic forecasts of wind power," IEEE Trans. Power Syst., vol. 22, no. 3, pp. 1148-1156, Aug. 2007. (Pubitemid 47278373)
8. M. Zima-Bockarjova, J.Matevosyan, M. Zima, and L. Soder, "Sharing of profit from coordinated operation planning and bidding of hydro and wind power," IEEE Trans. Power Syst., to be published.
9. S. Galloway, G. Bell, G. Burt, J. McDonald, and T. Siewierski, "Managing the risk of trading wind energy in a competitive market," Proc. Inst. Elect. Eng., Gen., Transm., Distrib., vol. 153, no. 1, pp. 106-114, Jan. 2006. (Pubitemid 43205681)
10. A. Fabbri, T. Gomez San Roman, J. R. Abbad, and V. H. M. Quezada, "Assessment of the cost associated with wind generation prediction errors in a liberalized electricity market," IEEE Trans. Power Syst., vol. 20, no. 3, pp. 1440-1446, Aug. 2005. (Pubitemid 41300957)
11. M. Olsson and L. Söder, "Estimating real time balancing prices in wind power systems," IEEE Trans. Power Syst., vol. 20, no. 3, pp. 1440-1446, Aug. 2005.
12. G. Sideratos and N. D. Hatziargyriou, "An advanced statistical method for wind power forecasting," IEEE Trans. Power Syst., vol. 22, no. 1, pp. 258-265, Feb. 2007. (Pubitemid 46437735)
13. G. Sideratos and N. D. Hatziargyriou, "A knowledge-based approach for control of two-level energy storage for wind energy systems," IEEE Trans. Energy Convers., vol. 24, no. 2, pp. 539-547, Jun. 2009.
14. J. Garcia-Gonzalez, "Hedging strategies for wind renewable generation in electricity markets," in Proc. IEEE Power & Energy Soc. General Meeting, Conversion and Delivery of Electrical Energy in the 21st Century, 2008.
15. J. M. Morales, A. J. Conejo, and J. Perez-Ruiz, "Economic valuation of reserves in power systems with high penetrations of wind power," IEEE Trans. Power Syst., vol. 24, no. 2, pp. 900-910, May 2009.
16. H. Holttinen, "Optimal electricity market for wind power," Energy Policy, vol. 33, pp. 2052-2063, 2005. (Pubitemid 40251892)
17. T. Jonsson, P. Pinson, and H. Madsen, "On the market impact of wind energy forecasts," Energy Econ., vol. 32, no. 2, pp. 313-320, 2010.
18. K. Skytte, "The regulating power market on the Nordic power exchange Nord pool: An econometric analysis," Energy Econ., vol. 21, no. 4, pp. 295-308, Aug. 1999. (Pubitemid 29423316)
19. Y. Rebours, D. Kirschen, and M. Trotignon, "Fundamental design issues in markets for ancillary services," Electricity J., vol. 17, no. 6, pp. 26-34, Jul. 2007.
20. G. Doorman and B. Nygreen, "Market price calculations in restructured electricity markets," Ann. Oper. Res., vol. 124, no. 1-4, pp. 49-67, Nov. 2003. (Pubitemid 39014975)
21. National Grid Company, Seven Year Statement, 2009. [Online]. Available: http://www.nationalgrid.com/uk/Electricity/SYS/.
22. Elexon, Imbalance Pricing Guide, 2009. [Online]. Available: http:// www.elexon.co.uk/Publications/notes/default.aspx.
23. Elexon, Best View Prices (Historical SBP and SSP Data). [Online]. Available: http://www.elexon.co.uk/marketdata/PricingData/default. aspx.
24. National Grid, GB Electricity Demand Data. [Online]. Available: http://www.nationalgrid.com/uk/Electricity/Data/Demand+Data/.
25. R. T. Clemen, Making Hard Decisions: An Introduction to Decision Analysis, 2nd ed. Pacific Grove, CA: Duxbury, 2001.
26. P. Artzner, F. Delbaen, J. M. Eber, and D. Heath, "Coherent measures of risk," Math. Finance, vol. 9, no. 3, pp. 203-228, 1999.
27. R. T. Rockefeller and S. Uryasev, "Optimization of conditional value-at-Risk," J. Risk, vol. 2, no. 3, 2000.