Stochastic Risk-Sensitive Market Integration for Renewable Energy: Application to Ocean Wave Power Plants

Kwami Senam Sedzro, Shalinee Kishore, Alberto Lamadrid, Luis Zuluaga

Research output: Contribution to journalArticlepeer-review

6 Scopus Citations

Abstract

With the expected increase of intermittent renewable energy resources on the electric power grid, short-term reserve markets can prove to be a critical reliability asset. This paper introduces and tests a potential market structure that includes a short-term reserve market for renewable resources where the realized energy is drawn within the bounds of the hourly capacity offered. The study presents a risk-aware stochastic model that determines, based on the day-ahead offer derived using a classic newsvendor formula, the best intraday offers for a renewable energy power plant. The stochastic approach takes into account the uncertainties of energy production and market prices. The proposed risk-sensitive model aims to maximize the renewable power plant's revenues and minimize potential risks of loss in a multi-product multi-timescale market setup. To demonstrate the effectiveness of the proposed formulation, we study the case of a hypothetical 750-kW wave power plant coupled with energy storage. The study shows that the risk of profit loss is not uniformly distributed across the risk-aversion factor space. We also find that the introduction of the short-term reserve market results in a wider range of conditional value at risk while inducing 5% profit increase and a lower profit reduction across the risk range. In addition, the study reveals that the short-term reserve market is profitable for both the system operator and the wave energy power plant considered.

Original languageAmerican English
Pages (from-to)474-481
Number of pages8
JournalApplied Energy
Volume229
DOIs
StatePublished - 1 Nov 2018

Bibliographical note

Publisher Copyright:
© 2018 Elsevier Ltd

NREL Publication Number

  • NREL/JA-5D00-71360

Keywords

  • Energy storage
  • Grid reliability
  • Market design
  • Optimization
  • Renewable integration
  • Short-term reserve market

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