Analytical Model of Day-ahead and Real-time Price Correlation in Strategic Wind Power Offering

Abstract

In this paper, the model of strategic wind power offering in the day-ahead (DA) market is proposed considering the uncertainties of wind power production, and price forecasting of DA and real-time (RT) market. The wind power deviation in the RT market is settled with the two-price mechanism based on the deviation direction and the relation between the locational marginal prices (LMPs) of DA and RT. Instead of using the point forecasting for the DA and RT LMPs, the uncertainties of LMP forecasting are modeled. In addition, the correlation between the forecasting errors of DA and RT LMP are directly modeled instead of generating the correlated scenarios. Finally, the optimal offered quantity of wind power in the DA market is derived using the probability theory based on the probabilistic wind power forecasting. The case study using the price data of actual DA and RT from Midcontinent Independent System Operator (MISO) validates the effectiveness of the proposed model. It shows that the correlation of the forecasting errors of DA and RT LMP has a significant impact on the wind power quantity offered by DA and revenue results.