IEEE Transactions on Power Systems · 2015 · 160 citations · 38 references
Natural ResourcesEconomicsRisk ManagementEnergy EconomicsRenewable Energy IntegrationRisk AnalysisDistributed Energy ResourcesElectricity MarketsEnergy PricingPricing Under UncertaintyRenewable EnergyStochastic ProgrammingConditional Value-at-riskDay-ahead Electricity MarketsRisk-averse OptimizationTwo-stage Stochastic OptimizationTwo-stage Stochastic ProgrammingVirtual Power Plant IntegrationWholesale Electricity PricingWholesale Energy Markets
Distributed energy resources can be aggregated into virtual power plants that participate in wholesale electricity markets and act as risk‑hedging mechanisms to generate surplus profit. This study develops a risk‑averse optimal offering model for a virtual power plant trading in both energy and spinning reserve markets and evaluates how risk aversion, reserve participation, and balancing‑market pricing affect total and surplus profits. The model employs a two‑stage stochastic programming framework with conditional value‑at‑risk to manage profit variability, incorporating uncertainties in renewable generation, load consumption, reserve calls, and day‑ahead, reserve, and balancing‑market prices.
Distributed energy resources (DERs) can be integrated into a single entity, namely, virtual power plant (VPP). The integration enables them to participate in competitive wholesale electricity markets. According to the different types of uncertainty faced by different DERs, this integration can also act as a risk-hedging mechanism providing a surplus profit. In this paper, using a two-stage stochastic programming approach, risk-averse optimal offering model for a VPP trading in a joint market of energy and spinning reserve service is presented. The conditional value-at-risk (CVaR) is used to control the risk of profit variability. Uncertainties involved in generation of renewables, consumption of loads, calls for reserve service, as well as prices in the day-ahead market, the spinning reserve market (RM) and the balancing (real-time) market (BM), are taken into consideration. This paper assesses how total and surplus profits of VPP are affected by risk-aversion, participation in the RM, and the pricing system in the BM. For this purpose, the role of the integration and the trends of energy and reserve transactions under both single and dual pricing systems in the BM are addressed in detail through a numerical study.
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