Packaging energy and reserves bids through risk penalties for enhanced reliability in co-optimized markets

Michael Roytman, Vinayak V. Shanbhag, Judith B. Cardell, C. Lindsay Anderson

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

With increasing proportion of windpower, an important concern is that of maintaining the reliability of the electric grid in the face of higher supply-side volatility. In this paper, we examine the role of risk-based penalties in developing alternate designs in which firms combine energy bids associated with uncertain real-time availability with stable reserves bids. Such a study is carried out in a regime where firms have access to a day-ahead market, an uncertain real-time energy market and a reserves market. The resulting game-theoretic problem is a two-period stochastic Nash game with risk-based objectives and the associated equilibrium conditions are given by a complementarity problem. Preliminary numerical results on a 6-firm problem provide insights regarding the impact of reserves prices and risk penalties on wind-based generation, particularly in the face of high variability.

Original languageEnglish (US)
Title of host publicationProceedings of the 45th Annual Hawaii International Conference on System Sciences, HICSS-45
Pages1915-1922
Number of pages8
DOIs
StatePublished - 2011
Event2012 45th Hawaii International Conference on System Sciences, HICSS 2012 - Maui, HI, United States
Duration: Jan 4 2012Jan 7 2012

Other

Other2012 45th Hawaii International Conference on System Sciences, HICSS 2012
CountryUnited States
CityMaui, HI
Period1/4/121/7/12

All Science Journal Classification (ASJC) codes

  • Engineering(all)

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    Roytman, M., Shanbhag, V. V., Cardell, J. B., & Anderson, C. L. (2011). Packaging energy and reserves bids through risk penalties for enhanced reliability in co-optimized markets. In Proceedings of the 45th Annual Hawaii International Conference on System Sciences, HICSS-45 (pp. 1915-1922). [6149119] https://doi.org/10.1109/HICSS.2012.463