Offering Strategy of a Price-Maker PV Power Plant: Multi-Stage Stochastic Programming with Probabilistic Constraints

Abstract

This paper presents a stochastic bi-level model to derive optimal offering strategies for an aggregated photovoltaic (PV) power plant, who participates as a price-maker in both day-ahead and intraday markets, and a deviator in the balancing market. The upper-level represents the profit maximization of the PV power plant, while the two lower-levels represent the market clearing of the day-ahead and the intraday market, respectively. The problem considered is stochastic and subject to different levels of uncertainties. Uncertainties concerning rivals' offers are modeled using scenarios, while the PV output uncertainty is taken into consideration by formulating probabilistic constraints. The stochastic bi-level optimization problem is then solved by being transformed into a mixed-integer linear programming model using the Karush-Kuhn-Tucker optimality conditions and the strong duality theory. A case study based on the data from a modified Swiss system demonstrates the effectiveness of the proposed model.