We consider the problem of a wind power producer trading energy in short-term electricity markets. The producer is a price-taker in the day-ahead market, but a price-maker in the balancing market, and aims at optimizing its expected revenues from these market floors. The problem is formulated as a mathematical program with equilibrium constraints (MPEC) and cast as a mixed-integer linear program (MILP), which can be solved employing off-the-shelf optimization software. The optimal bid is shown to deliver significantly improved performance compared to traditional bids such as the conditional mean or median forecast of wind power distribution. Finally, sensitivity analyses are carried out to assess the impact on the offering strategy of the producer's penetration in the market, of the correlation between wind power production and residual system deviation, and of the shape of the forecast distribution of wind power production.
I E E E Transactions on Power Systems, 2013, Vol 28, Issue 3, p. 3440-3450
Electricity markets; Mathematical programs with equilibrium constraints; Offering strategies; Price-maker; Wind power