Abstract
This paper is a case-study based analysis of short-term hydro power optimization considering Spot and Intraday Auction markets. Both markets are closed order book auctions. The analysis shows that the usage of day-ahead price forecast-based water values in intraday trading leads to significantly different results than in the day-ahead market. This is because of the higher fluctuations and limited liquidity on the Intraday Auction market. A multistage quadratic optimization is presented that optimizes the Spot market dispatch on the first stage, and performs a post-optimization to exploit Intraday Auction optionalities on the second stage. The limited liquidity on the Intraday Auction market is accounted for. A case study based example is given and optimal production schedules and bidding strategies are calculated. Further, it is presented why different water values are needed for different markets and how they can be used in the practical short-term position management.
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