Optimising energy and reserve offers in the Nordic markets under uncertainty

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Perustieteiden korkeakoulu | Master's thesis
Systems and Operations Research
Degree programme
Master’s Programme in Mathematics and Operations Research
From an energy system perspective, hybrid energy producers with variable renewable energy (VRE) generators should aim to meet their day-ahead market commitments, which have been settled in light of production forecasts. In case of forecast errors, hybrid energy producers can meet these commitments by self-balancing. Self-balancing is possible either by trading in post-day-ahead markets or by adjusting the operation of their flexible generation units. In addition, hybrid producers should contribute to system stability by also offering their flexible generation capacity on ancillary markets. However, the question remains whether current market designs and market prices provide adequate incentives for multi-market participation. In response to this question, this work presents a profit-maximising offer-strategy optimisation model which generates optimal offer curves for day-ahead and primary reserve markets taking into account uncertainty in dispatch, intraday trading oppor- tunities, VRE generation and imbalance settlement. The primary reserve market considered is the market for up-regulating frequency containment reserve for distur- bances (FCR-D). The hybrid producer’s portfolio comprises VRE and controllable energy generation technologies. Despite, day-ahead, intraday and reserve markets having been studied previously, the contribution of this work is incorporating all these market opportunities into a coordinated bidding model and studying the benefits of this coordination and the incentives for multi-market participation in the Finnish context. Furthermore, the sensitivity of these results to intraday market liquidity and restrictions on providing reserve are assessed. The results of the case study indicate that current market design and prices provide incentives for multi-market participation on these three markets. They also illustrate that self-balancing by intraday trading is profitable, but that intraday market liquidity limits this possibility. Furthermore, the results highlight that considering the reserve market in a coordinated manner with the day-ahead market has a significant effect on the reserve market participation. This effect is an increase in reserve market participation in comparison to the setting where offers to the day-ahead and reserve markets are optimised sequentially.
Oliveira, Fabricio
Thesis advisor
Santos, Bruno
Electricity markets, Offer-strategy optimisation, Stochastic programming, Mixed-integer linear optimisation
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