Risk Management and Optimal Bidding for a Wind Power Producer

• Type: Article in International Conference Proceedings Book
• Date: 2010

Authors

Botterud, A (Author) Other; Wang, J (Author) Other; Bessa, RJ (Author) Other; Keko, H (Author) Other; Vladimiro Miranda (Author) FEUP

Conference proceedings International

Title: IEEE POWER AND ENERGY SOCIETY GENERAL MEETING 2010

PES General Meeting

Minneapolis, MN, JUL 25-29, 2010

Indexing

ISI Web of Knowledge - 20 Citations

Scopus - 47 Citations

Other information

Authenticus ID: P-005-5NA

DOI: 10.1109/pes.2010.5589535

Abstract (EN): This paper discusses risk management, contracting, and bidding for a wind power producer. A majority of the wind power in the United States is sold on long-term power purchase agreements, which hedge the wind power producer against future price risks. However, a significant amount is sold as merchant power and therefore is exposed to fluctuations in future electricity prices (day-ahead and real-time) and potential imbalance penalties. Wind power forecasting can serve as a tool to increase the profit and reduce the risk from participating in the wholesale electricity market. We propose a methodology to derive optimal day-ahead bids for a wind power producer under uncertainty in realized wind power and market prices. We also present an initial illustrative case study from a hypothetical wind site in the United States, where we compare the results of different day-ahead bidding strategies. The results show that the optimal day-ahead bid is highly dependent on the expected day-ahead and real-time prices, and also on the risk preferences of the wind power producer. A deviation penalty between day-ahead bid and real-time delivery tends to drive the bids closer to the expected generation for the next day.

Language: English

Type (Professor's evaluation): Scientific

No. of pages: 8