Optimal Bidding Strategy for a Wind Power Producer in the Energy and Spinning Reserve Markets

Abstract

Wind power is one of the world's fastest-growing renewable energy resources. To achieve high levels of wind power penetration in the power supply, it will be necessary for wind power producers (WPPs) to contribute to system-wide reserves. This paper proposes a stochastic optimization model to determine the optimal offer strategy for a WPP that participates in the day-ahead and real-time energy and spinning reserve markets. The objective function maximizes the WPP's total expected profit while minimizing risk by allowing the WPP to split day-ahead offers between the energy and spinning reserve markets, which have lower penalties than the energy market for failing to deliver the cleared day-ahead offer. The model is solved using the simplex method, and hourly offer curves are generated for several levels of risk-aversion. Case study results show that the proposed offer strategy increases expected profit and significantly decreases risk compared to the case where the WPP only participates in the energy market.