Related papers: Internal hydro- and wind portfolio optimisation in…
In this paper, we suggest that reserves must be computed dynamically to account for wind power volatility. We formalize the notion of dynamic reserves in support of sequential Day-Ahead-Market (DAM) and Real-Time-Market (RTM) clearing and…
We formulate an equilibrium model of intraday trading in electricity markets. Agents face balancing constraints between their customers consumption plus intraday sales and their production plus intraday purchases. They have continuously…
Keeping the electricity production in balance with the actual demand is becoming a difficult and expensive task in spite of an involvement of experienced human operators. This is due to the increasing complexity of the electric power grid…
The rapid increase in scale and sophistication of offshore wind (OSW) farms poses a critical challenge related to the cost-effective operation and management of wind energy assets. A defining characteristic of this challenge is the economic…
During the last years, European intraday power markets have gained importance for balancing forecast errors due to the rising volumes of intermittent renewable generation. However, compared to day-ahead markets, the drivers for the intraday…
The imbalance costs incurred by a stochastic power producer due to forecast production errors have a significant impact on its total profit and therefore, such an impact needs to be taken into account when evaluating investment decisions.…
During the life of a wind farm, various types of costs arise. A large share of the operational cost for a wind farm is due to maintenance of the wind turbine equipment; these costs are especially pronounced for offshore wind farms and…
Currently, wind energy is one of the most important sources of renewable energy. Offshore locations for wind turbines are increasingly exploited because of their numerous advantages. However, offshore wind farms require high investment in…
We develop a mathematical model for intraday dispatch of co-located wind-battery energy assets. Focusing on the primary objective of firming grid-side actual production vis-a-vis the preset day-ahead hourly generation targets, we conduct a…
This paper develops a feature-driven model for hybrid power plants, enabling them to exploit available contextual information such as historical forecasts of wind power, and make optimal wind power and hydrogen trading decisions in the…
Recent studies concerning the point electricity price forecasting have shown evidence that the hourly German Intraday Continuous Market is weak-form efficient. Therefore, we take a novel, advanced approach to the problem. A probabilistic…
Interconnecting price zones and remote renewable energy sources has emerged as a key solution to achieving climate goals. The objective of this work is to present a formulation that extends the base optimal power flow model with price zones…
In this paper we study the pricing and hedging of structured products in energy markets, such as swing and virtual gas storage, using the exponential utility indifference pricing approach in a general incomplete multivariate market model…
We study an optimal portfolio problem designed for an agent operating in intraday electricity markets. The investor is allowed to trade in a single risky asset modelling the continuously traded power and aims to maximize the expected…
The increase of renewables in the grid and the volatility of the load create uncertainties in the day-ahead prices of electricity markets. Adaptive robust optimization (ARO) and stochastic optimization have been used to make commitment and…
In this study, an optimization problem is proposed in order to obtain the maximum economic benefit from wind farms with variable and intermittent energy generation in the day ahead and balancing electricity markets. This method, which is…
This paper describes multi-portfolio `internal' rebalancing processes used in the finance industry. Instead of trading with the market to `externally' rebalance, these internal processes detail how portfolio managers buy and sell between…
Considering that the existing setup of the European electricity markets promotes the spatial coordination of neighbouring power systems only on the day-ahead market stage, regional system operators have to rely mainly on their internal…
Due to the limited predictability of wind power and other stochastic generation, trading this energy in competitive electricity markets is challenging. This paper derives revenue-maximising and risk-constrained strategies for stochastic…
Virtual power plant (VPP) provides a flexible solution to distributed energy resources integration by aggregating renewable generation units, conventional power plants, energy storages, and flexible demands. This paper proposes a novel…