Robust supply function bidding in electricity markets with renewables

Yuanzhang Xiao, Chaithanya Bandi, Ermin Wei

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

We study a two-stage electricity market with renewables. Each energy producer in the market has a portfolio of both renewable and conventional energy generators. In the day-ahead (DA) market, each producer submits a parameterized supply function (i.e., the amounts of energy to produce at various prices) to the independent system operator (ISO), who determines the DA market clearing price and the amounts of DA committed energy by each producer. In the real-time market, each producer tries to fulfill its DA committed energy with (zero-cost) renewables. If the renewable energy is insufficient, the producer uses conventional energy generation and incurs a cost; otherwise, it sells the surplus of renewable energy to the ISO at a predetermined feed-in tariff. We study the robust supply function equilibrium (SFE) in this market, where each producer has incomplete information about the other producers' marginal costs and the distribution of its random renewable energy, and performs worst-case optimization against these unknown variables. We fully characterize the unique robust SFE, and study the impact of the feed-in tariff on the equilibrium outcome.

Original languageEnglish (US)
Title of host publication54th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2016
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages243-247
Number of pages5
ISBN (Electronic)9781509045495
DOIs
StatePublished - Feb 10 2017
Event54th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2016 - Monticello, United States
Duration: Sep 27 2016Sep 30 2016

Publication series

Name54th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2016

Other

Other54th Annual Allerton Conference on Communication, Control, and Computing, Allerton 2016
CountryUnited States
CityMonticello
Period9/27/169/30/16

Keywords

  • Electricity markets
  • renewable energy generation
  • robust equilibrium
  • supply function bidding
  • worst-case optimization

ASJC Scopus subject areas

  • Artificial Intelligence
  • Computational Theory and Mathematics
  • Computer Networks and Communications
  • Hardware and Architecture
  • Control and Optimization

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