Strategic wind power investment in competitive electricity markets considering the possibility of participation in intraday market

Abstract

Wind power application in producing electrical energy is an integral part of the increased eco-friendly generation. Accordingly, wind power producers may have a dominant position in some electricity markets. This study mainly concerns a strategic wind power investor who owns a number of units and seeks to optimise its expansion plans on sizes and sites of new generation capacities in a horizon year. Here, the investor is a price-maker in both day-ahead (DA) and intraday (ID) markets, while acts as a deviator in the balancing market. A stochastic bi-level model is proposed wherein the upper-level, the investor maximises the expected profit. Both DA and ID market clearings are considered in the lower-level (LL). The model is formulated as a mathematical program with equilibrium constraints (MPEC) by replacing the LL problem with its Karush–Kuhn–Tucker (KKT) conditions. The MPEC model is then converted to a mixed-integer linear programming model. A three-bus illustrative example and IEEE 24-bus reliability test system are used to demonstrate the effectiveness of the proposed model. The results confirm that the presence of the ID market in the investment model has increased the expected profits of the investor and also increases invested wind capacity.