Risk Averse Decision Making of a Wind Power Producer in Short-term Trading Floor

Abstract

This paper presents a stochastic model for the energy bidding problem of a wind power producer (WPP) who takes part in the electricity market to supply the loads under its jurisdiction. Different sources of uncertainty due to the intermittent renewable energy sources, customers and EVs required demand as well as electricity prices are considered in the model. The presence of such uncertainties in the planning model requires bidding energy with the balancing market. Also, in order to cope with uncertainties, a conditional value at risk (CVaR) term has been included in the model. The energy bidding problem of the WPP is modeled as a two stage stochastic program, which is solved using scenario-based optimization approach. Extensive numerical results show that the participation of responsive loads can improve the revenue of WPP. Also, the risk constrained decision making of the WPP affects its expected profit as well as the energy bidding with the network.