Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach
This paper analyzes a price-taker hydro generating company which participates simultaneously in day-ahead energy and ancillary services markets. An approach for deriving marginal cost curves for energy and ancillary services is proposed, taking into consideration price uncertainty and opportunity co...
| Main Authors: | , , , |
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| Format: | Article |
| Language: | English |
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MDPI AG
2014-04-01
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| Series: | Energies |
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| Online Access: | http://www.mdpi.com/1996-1073/7/4/2317 |
| _version_ | 1798004059504902144 |
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| author | Perica Ilak Slavko Krajcar Ivan Rajšl Marko Delimar |
| author_facet | Perica Ilak Slavko Krajcar Ivan Rajšl Marko Delimar |
| author_sort | Perica Ilak |
| collection | DOAJ |
| description | This paper analyzes a price-taker hydro generating company which participates simultaneously in day-ahead energy and ancillary services markets. An approach for deriving marginal cost curves for energy and ancillary services is proposed, taking into consideration price uncertainty and opportunity cost of water, which can later be used to determine hourly bid curves. The proposed approach combines an hourly conditional value-at-risk, probability of occurrence of automatic generation control states and an opportunity cost of water to determine energy and ancillary services marginal cost curves. The proposed approach is in a linear constraint form and is easy to implement in optimization problems. A stochastic model of the hydro-economic river basin is presented, based on the actual Vinodol hydropower system in Croatia, with a complex three-dimensional relationship between the power produced, the discharged water, and the head of associated reservoir. |
| first_indexed | 2024-04-11T12:17:29Z |
| format | Article |
| id | doaj.art-cb2602d3955e4cf38d342492218de73f |
| institution | Directory Open Access Journal |
| issn | 1996-1073 |
| language | English |
| last_indexed | 2024-04-11T12:17:29Z |
| publishDate | 2014-04-01 |
| publisher | MDPI AG |
| record_format | Article |
| series | Energies |
| spelling | doaj.art-cb2602d3955e4cf38d342492218de73f2022-12-22T04:24:15ZengMDPI AGEnergies1996-10732014-04-01742317234210.3390/en7042317en7042317Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained ApproachPerica Ilak0Slavko Krajcar1Ivan Rajšl2Marko Delimar3Faculty of Electrical Engineering and Computing, University of Zagreb, Unska 3, Zagreb HR-10000, CroatiaFaculty of Electrical Engineering and Computing, University of Zagreb, Unska 3, Zagreb HR-10000, CroatiaFaculty of Electrical Engineering and Computing, University of Zagreb, Unska 3, Zagreb HR-10000, CroatiaFaculty of Electrical Engineering and Computing, University of Zagreb, Unska 3, Zagreb HR-10000, CroatiaThis paper analyzes a price-taker hydro generating company which participates simultaneously in day-ahead energy and ancillary services markets. An approach for deriving marginal cost curves for energy and ancillary services is proposed, taking into consideration price uncertainty and opportunity cost of water, which can later be used to determine hourly bid curves. The proposed approach combines an hourly conditional value-at-risk, probability of occurrence of automatic generation control states and an opportunity cost of water to determine energy and ancillary services marginal cost curves. The proposed approach is in a linear constraint form and is easy to implement in optimization problems. A stochastic model of the hydro-economic river basin is presented, based on the actual Vinodol hydropower system in Croatia, with a complex three-dimensional relationship between the power produced, the discharged water, and the head of associated reservoir.http://www.mdpi.com/1996-1073/7/4/2317hydropower plantopportunity costwater shadow priceday-ahead marketrisk-aversionconditional value at riskancillary services |
| spellingShingle | Perica Ilak Slavko Krajcar Ivan Rajšl Marko Delimar Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach Energies hydropower plant opportunity cost water shadow price day-ahead market risk-aversion conditional value at risk ancillary services |
| title | Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach |
| title_full | Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach |
| title_fullStr | Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach |
| title_full_unstemmed | Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach |
| title_short | Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach |
| title_sort | pricing energy and ancillary services in a day ahead market for a price taker hydro generating company using a risk constrained approach |
| topic | hydropower plant opportunity cost water shadow price day-ahead market risk-aversion conditional value at risk ancillary services |
| url | http://www.mdpi.com/1996-1073/7/4/2317 |
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