Impacts of intraday risky power trades on the high wind penetrated electricity markets

Abstract

In this study, a three-settlement electricity market including the day-ahead, risky, and real-time trades is analysed. A wind power producer faces generation uncertainty and needs to cover its real-time generation deviation unless it would be penalised. To do so, wind power producers participate in an intraday risky power market, as well as in the day-ahead and real-time markets. Mathematical program with equilibrium constraints (MPEC) is used to model the behaviour of each generation company in its profit maximisation process. The complementarity constraints describe the market clearings and constitute a bi-level optimisation problem for each company. The companies have a combination of wind and thermal power plants in their generation portfolios. Wind power uncertainty is modelled using plausible scenarios. The joint solution of all companies’ MPECs makes an equilibrium problem with equilibrium constraints (EPEC). This EPEC is linearised and solved using mixed integer linear programming techniques. EPEC solution gives the Nash equilibrium. Results show the effectiveness of the risky power trades on reducing the reserve requirements, increasing the wind power producers’ profit, and reducing the wind power spillage.