Abstract
In order to enhance the liquidity and stability of ancillary service markets in Europe and to motivate the participation of renewable energy resources, the incorporation of control reserve procurement into day-ahead power exchanges (PXs) is proposed. The design of the corresponding clearing algorithm is presented in detail. The model allows the submission of combined energy-reserve orders and guarantees that opportunity costs of power producers are taken into account. It can also handle non-convex offers (e.g. block bids) and market coupling that are essential components of European PX designs. The formulated optimization problem can be classified as a convex Mixed Integer Quadratic Program; consequently, its solution can be found using readily available generic solvers. A numerical simulation is executed for the purpose of demonstration and also to make a comparison between joint and separated allocation of energy and reserves. The simple initial analysis suggests that the proposed integration approach is beneficial.
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