© The Institution of Engineering and Technology
Owing to the interaction between energy and spinning reserve markets, designing proper bid functions and offering optimal prices to these markets is economically a challenging task from generation companies (GenCos) point of view, especially in the pay-as-bid pricing mechanism. A previously presented only-energy bidding method is generalised in order to model and solve a multimarket bidding problem. Considering a joint probability distribution function for energy and spinning reserve prices, the bidding problem is formulated and solved as a classic optimisation problem. The results show that the contribution of GenCos in each market strongly depends on their production costs, GenCo's risk-aversion degree and the mean values of market prices.
References
-
-
1)
-
Deng, S.J., Shen, Y., Sun, H.: `Optimal scheduling of hydro-electric power generation with simultaneous participation in multiple markets', Proc. IEEE Power System Conf. and Exposition, October–November 2006, Atlanta, USA, p. 1650–1657.
-
2)
-
S. Soleymani ,
A.M. Ranjbar ,
A.R. Shirani
.
New approach for strategic bidding of Gencos in energy and spinning reserve markets.
Energy Convers. Manag
,
7 ,
2044 -
2052
-
3)
-
F.S. Wen ,
A.K. David
.
Optimally coordinated bidding strategies in energy and ancillary service markets.
Inst. Electr. Eng. Gener. Transm. Distrib.
,
3 ,
331 -
338
-
4)
-
Wen, F.S., David, A.K.: `Coordination of bidding strategies in energy and spinning reserve markets for competitive suppliers using a genetic algorithm', Proc. IEEE Summer Meeting, July 2000, Seattle, WA, p. 2174–2179.
-
5)
-
D.J. Swider ,
C. Weber
.
Extended ARMA models for estimating price developments on day-ahead electricity markets.
Electr. Power Syst. Res.
,
583 -
593
-
6)
-
J.M. Arroyo ,
A.J. Conejo
.
Optimal response of a power generator to energy, AGC, and reserve pool-based markets.
IEEE Trans. Power Syst.
,
404 -
410
-
7)
-
F.S. Wen ,
A.K. David
.
Coordination of bidding strategies in day-ahead energy and spinning reserve markets.
Electr. Power Energy Syst.
,
4 ,
251 -
261
-
8)
-
H.M. Markowitz
.
Portfolio selection.
J. Finance
,
1 ,
77 -
91
-
9)
-
H. Levy ,
M. Sarnat
.
(1984)
Portfolio and investment selection: theory and practice.
-
10)
-
Menniti, D., Musmanno, R., Scordino, N.I., Sorrentino, N.: `Managing price risk while bidding in a multimarket environment', Proc. IEEE Power Engineering Society General Meeting, June 2007, Tampa, Florida, p. 1–10.
-
11)
-
Z. Bodie ,
A. Kane ,
A. Marcus
.
(2005)
Investments.
-
12)
-
P. Attaviriyanupap ,
H. Kita ,
E. Tanaka ,
J. Hasegawa
.
New bidding strategy formulation for day-ahead energy and reserve markets based on evolutionary programming.
Int. J. Electr. Power Energy Syst.
,
3 ,
157 -
167
-
13)
-
M. Shahidehpour ,
H. Yamin ,
Z. Li
.
(2002)
Market operations in electric power systems: forecasting, scheduling, and risk management.
-
14)
-
T. Biswas
.
(1997)
Decision-making under uncertainty.
-
15)
-
D.J. Swider
.
Simultaneous bidding in day-ahead auctions for spot energy and power systems reserve.
Int. J. Electr. Power Energy Syst.
,
6 ,
470 -
479
-
16)
-
H. Haghighat ,
H. Seifi ,
A.R. Kian
.
Gaming analysis in joint energy and spinning reserve markets.
IEEE Trans. Power Syst.
,
4 ,
2074 -
2085
-
17)
-
M. Rahimiyan ,
H. Rajabi Mashhadi
.
Supplier's optimal bidding strategy in electricity pay-as-bid auction: comparison of the Q-learning and a model-based approach.
Electr. Power Syst. Res.
,
165 -
175
-
18)
-
J. Sadeh ,
H. Rajabi Mashhadi ,
M.A. Latifi
.
A risk-based approach for bidding strategy in an electricity pay-as-bid auction.
Eur. Trans. Electr. Power
,
1 ,
39 -
55
http://iet.metastore.ingenta.com/content/journals/10.1049/iet-gtd.2011.0317
Related content
content/journals/10.1049/iet-gtd.2011.0317
pub_keyword,iet_inspecKeyword,pub_concept
6
6