Considering the sequential clearing of energy and reserves in Europe, enabling inter-area reserve exchange requires optimally allocating inter-area transmission capacities between these two markets. To achieve this, we provide a market-based allocation framework and derive payments with desirable properties. The proposed min-max least core selecting payments achieve individual rationality, budget balance, and approximate incentive compatibility and coalitional stability. The results extend the works on private discrete items to a network of continuous public choices.
With an increasing share of volatile renewables, more flexibility is needed to balance the electricity system. In order to enable local flexibility, we suggest a three-stage stochastic market clearing model using community-based peer-to-peer (P2P) trading with participation in the short term reserve markets. With this approach, internal intraday (IID) and real-time (IRT) markets are cleared where peers can trade to balance their day-ahead market position under uncertainty in load and activation of reserves. Results show increased participation of 19 and 44 % in reserve markets when P2P IID and…
Recently, chance-constrained stochastic electricity market designs have been proposed to address the shortcomings of scenario-based stochastic market designs. In particular, the use of chance-constrained market-clearing avoids trading off in-expectation and per-scenario characteristics and yields unique energy and reserves prices. However, current formulations rely on symmetric control policies based on the aggregated system imbalance, which restricts balancing reserve providers in their energy and reserve commitments. This paper extends existing chance-constrained market-clearing formulations…
This paper deals with the problem of clearing sequential electricity markets under uncertainty. We consider the European approach, where reserves are traded separately from energy to meet exogenous reserve requirements. Recently pro- posed stochastic dispatch models that co-optimize these services provide the most efficient solution in terms of expected operating costs by computing reserve needs endogenously. However, these models are incompatible with existing market designs. This paper proposes a new method to compute reserve requirements that bring the outcome of sequential markets closer t…
From an economic point of view, a common criterion for assessing the merits of a reserve investment is its impacts on social welfare. The underlying assumption in using this criterion is that side payments may be used to distribute the social gains among all market players. In reality, however, since the impacts of an electricity reserve project on different players may vary, such side payments are rather difficult to implement. We present a three-stage scenario-based programming model for committing reserves in power markets with large amounts of wind power. We describe wind power generation …
Substantial changes in the generation portfolio take place due to the fast growth of renewable energy generation, of which the major types such as wind and solar power have significant forecast uncertainty. Reducing the impacts of uncertainty requires the cooperation of system participants, which are supported by proper market rules and incentives. In this paper, we propose a bilateral reserve market for variable generation (VG) producers and capacity resource providers. In this market, VG producers purchase bilateral reserve services (BRSs) to reduce potential imbalance penalties, and BRS pro…
This paper considers the problem faced by a bank which trades in the funds market so as to maintain the reserve requirements and minimize the costs of doing that. We work in a stochastic paradigm and the reserve requirements are determined by the demand deposit process, modelled as a geometric Brownian motion. The discount rates for the cumulative funds purchased and the cumulative funds sold are assumed to be different. The optimal strategy of the bank is explicitly found and it has the following structure: when bank reserves lower to an exogenously threshold level the bank has to purchase fu…
Energy storage can facilitate the integration of renewable energy resources by providing arbitrage and ancillary services. Jointly optimizing energy and ancillary services in a centralized electricity market reduces the system's operating cost and enhances the profitability of energy storage systems. However, achieving these objectives requires that storage be located and sized properly. We use a bi-level formulation to optimize the location and size of energy storage systems which perform energy arbitrage and provide regulation services. Our model also ensures the profitability of investments…
Considering that the existing setup of the European electricity markets promotes the spatial coordination of neighbouring power systems only on the day-ahead market stage, regional system operators have to rely mainly on their internal balancing resources in order to guarantee system security. However, as power systems are forced to operate closer to their technical limits, where flexible generation becomes scarce, the conventional market paradigm may not be able to respond effectively on the wide range of uncertainty. The operational flexibility of the power system depends both on the technic…
The establishment of a single European day-ahead market has accomplished the integration of the regional day-ahead markets. However, the reserves provision and activation remain an exclusive responsibility of regional operators. This limited spatial coordination and the sequential market structure hinder the efficient utilization of flexible generation and transmission, since their capacities have to be ex-ante allocated between energy and reserves. To promote reserve exchange, recent work has proposed a preemptive model that defines the optimal inter-area transmission capacities for energy an…
In a power grid, the electricity supply and demand must be balanced at all times to maintain the system's frequency. In practice, the grid operator achieves this balance by procuring frequency reserves in an ahead-of-time market setting. During runtime, these reserves are then dispatched whenever there is an imbalance in the grid. Recently, there has been an increasing interest in engaging electricity consumers, such as plug-in electric vehicles or buildings, to offer such frequency reserves by exploiting their flexibility in power consumption. In this work, we focus on an aggregation of build…
This case study presents an analysis and quantification of the impact of the lack of co-optimization of energy and reserve in the presence of high penetration of wind energy. The methodology is developed in a companion paper, Part I. Two models, with and without co-optimization are confronted. The modeling of reserve and the incentive to renewable as well as the calibration of the model are inspired by the Spanish market. A sensitivity analysis is performed on configurations that differ by generation capacity, ramping capability, and market parameters (available wind, Feed in Premium to wind, …
Optimal wind farm energy and reserve scheduling incorporating wake interactions
Services Industriels de Genève（日内瓦公共服务局）；Department of Engineering, University of Durham（达勒姆大学工程系）；School of Engineering and Management Vaud (HEIG-VD), University of Applied Sciences and Arts Western Switzerland (HES-SO)（瑞士西部应用科学与艺术大学沃州工程与管理学院）
Although the specific structures of electricity markets are diverse around the world, they were all conceived on the premise of predictable, controllable generation with nonnegligible marginal costs. Recent changes, specifically, the increasing renewable integration, have challenged such assumptions. In light of this shift, this thesis intends to devise new frameworks and advance our understanding of the future markets. The first part focuses on mechanism design when the model fully reflects the physics of the grid and the participants. We consider a market that involves continuous goods, gene…
The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand deposit process, modelled as a Brownian motion with drift. We propose a new model in which the cumulative funds purchases and sales are discounted at possible different rates. We formulate and solve the problem of finding the bank's optimal strategy. The model can be extended to involve the bank's asset size and we obtain that, under some conditions, the op…
The demand response provides an opportunity for load serving entities (LSEs) that operate retail electricity markets (REMs) to strategically purchase energy and provide reserves in wholesale electricity markets (WEMs). This paper concerns with the problem of simultaneously determining the optimal energy bids and reserve offers an LSE submits to the WEM as well as the optimal energy and reserve prices it sets in the REM so as to maximize its profit. To this end, we explicitly model the tri-layer market structure that consists of a WEM, a REM, and a set of end user customers, so as to capture th…
This paper analyzes the pessimistic effect on the inherent load shifting potential (LSP) of buildings due to the participation in the reserve market. A generic model-based optimization approach is deployed, which uses a validated dynamic model along with its experienced external and internal disturbances, to quantify the LSP in the presence of various price signals. The theoretical maximum LSP is obtained using a base energy price without the provision of ancillary services (AS). The deviation from the base case LSP is observed after including the time varying energy and the reserve price from…
Decisions for a variable renewable resource generators commitment in the energy market are typically made in advance when little information is obtainable about wind availability and market prices. Much research has been published recommending various frameworks for addressing this issue. However, these frameworks are limited as they do not consider all markets a producer can participate in. Moreover, current stochastic programming models do not allow for uncertainty data to be updated as more accurate information becomes available. This work proposes two decision-making frameworks for a wind …
The rise of Ethereum and other blockchains that support smart contracts has led to the creation of decentralized exchanges (DEXs), such as Uniswap, Balancer, Curve, mStable, and SushiSwap, which enable agents to trade cryptocurrencies without trusting a centralized authority. While traditional exchanges use order books to match and execute trades, DEXs are typically organized as constant function market makers (CFMMs). CFMMs accept and reject proposed trades based on the evaluation of a function that depends on the proposed trade and the current reserves of the DEX. For trades that involve onl…
We consider the optimal spacing between marine reserves for maximising the viability of a species occupying a reserve network. The closer the networks are placed together, the higher the probability of colonisation of an empty reserve by an occupied reserve, thus increasing population viability. However, the closer the networks are placed together, the higher the probability that a catastrophe will cause extinction of the species in both reserves, thus decreasing population viability. Using a simple discrete-time Markov chain model for the presence or absence of the species in each reserve we …
