Optimal Participation of RES Aggregators in Energy and Ancillary Services Markets

Abstract

With the advent of bulk volumes of renewable energy, RES aggregators have evolved into key market players of the energy industry. This paper presents a holistic approach to derive the optimal offering strategy of a price-taker RES aggregator in the day-ahead energy and ancillary services markets. The day-ahead, the ancillary services and the real-time balancing market functions are modeled in detail. Fundamental imbalance settlement mechanisms are examined, namely Single Pricing, Two Price settlement and Dual Pricing. Several sources of uncertainty are considered affecting the day-ahead market prices, the ancillary services prices, the imbalance prices and the actual production of the RES aggregator. To cope with these uncertainties, a stochastic risk-constrained optimization model is formulated for the aggregator's optimal bidding. A realistic application in the Greek power system allows for examining the motivations for strategic bidding and accurate forecasting in each imbalance pricing scheme. The interplay between the energy and the ancillary services offers is analyzed, to examine the RES aggregator's motivations to bid for ancillary services.