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ENERGIX-Stort program energi

Day-Ahead Bidding with Multiple Short-Term Markets

Alternative title: Spotanmelding med flere korttidsmarkeder

Awarded: NOK 14.4 mill.

The future European power system is expected to have an increasing share of intermittent renewable production, such as wind and solar. Therefore, short-term production variability will increase. Also, system integration is expected to increase, both physically through transmission network expansions and on the market side through market alignments. EU climate targets and free trade principles are important drivers for this development. Hydropower is a valuable resource in the power system, both because it is renewable and due to its fast, short-term ramping capability. This flexibility makes hydropower well suited for balancing intermittent power sources and for maintaining a reliable system operation. The day-ahead market is by far the largest market for power trade in Norway. As within-day variability increases, the volumes in short-term markets for power, reserve and regulation are expected to grow. This is both an opportunity and a challenge for hydropower producers. Earlier research indicates an increased value of hydropower resources when offered in multiple short-term markets. On the other hand, multi-market trading will complicate the scheduling tasks that need to take place in a short timeframe. This project aimed at learning how hydropower producers should bid in day-ahead markets that are integrated in a sequence of balancing markets. The project has mostly studied intraday markets and regulation markets as supplements to the day-ahead market. Main research challenges have been: 1. Modelling of uncertainty: how to model multiple market prices and their interdependence consistently? 2. Multi-market modelling: under what conditions does a multi-market perspective during day-ahead bidding give added value? 3. Hydropower bidding: how to calculate day-ahead bidding curves in a detailed production scheduling tool for hydropower? 4. Decision support for multi-market trade: what challenges do you face when introducing multiple markets in a detailed production scheduling tool for hydropower? The research has mainly been based on development and analysis with mathematical programming models, both tailormade research models and detailed production scheduling tools. The project has developed and tested methods for generation of scenario trees representing market prices and their uncertainty. Furthermore, a prototype for construction of bidding curves in the day-ahead market is developed as an add-on module to a hydropower production scheduling tool. We have developed a framework for simulation of the information and decision dynamics by a rolling-horizon set-up. This framework was used to simulate multi-market trade with a detailed production scheduling tool to evaluate the value of trading in multiple markets under different assumptions, and to learn about the performance and appropriateness of tool setups when multiple markets are included. Two PhD-candidates have carried out their PhD work within the project. The two theses are titled " Stochastic programming for short-term hydropower scheduling and bidding" and "Dynamic Electricity Market Games". Both PhD-work and other project results are published in academic conferences, papers and reports, and in workshops organized by the project with participants from the industry, researchers and students.

Nye forskere ved både SINTEF og NTNU har blitt kjent med korttids planlegging og handel med vannkraft, noe som øker robustheten til et relativt lite fagmiljø som er viktig for norsk vannkraftindustri. Dessuten har samarbeidet bidratt til økt forståelse av perspektiver som kobler ingeniørfaglige hensyn med markedsforståelse. PhD-kandidatenes utenlandsopphold, samt organisering av to workshops har bidratt til å utvide og styrke kontaktflatene til internasjonale forskningsmiljøer, noe som forventes å styrke internasjonalt samarbeid i videre forskning. Som arena for kunnskaps- og erfaringsutveksling for akademikere og industri antas projektet å ha vært en medvirkende motivasjon for industriinterne prosjekter knyttet til vannkraftbudgivning. Videre har prosjektet utviklet kunnskap om modellering av kortsiktig handel med vannkraft som forventes å få betydning for videre utvikling innen vannkraftoptimering, særlig rettet mot ambisjoner om robothandel og ved simulering av nye markedsdesign.

The European power system is expected to become more integrated and include a larger share of intermittent renewable production. This development is driven by EU environmental targets and ambitions. In Norway, new cables to Europe, tighter market coupling and increased contributions from intermittent production is expected to give increased price volatility, larger volumes and higher prices in balancing markets. This will increase the importance and profit potential of a consistent view on trade in all short-term markets. The producers' ability to optimally bid their resources in a broad and complex range of markets is a premise for the efficient utilization of Norwegian hydropower resources and the ability to provide balancing flexibility to the system. This project aims at learning how hydropower producers should bid in day-ahead markets that are integrated in a sequence of balancing markets. This will be achieved by studying optimal behaviour in short-term markets by the use of research models. The next step will be to extend the detailed hydropower scheduling models currently used by the industry with balancing markets based on the knowledge gained from the research models. Providing a consistent description of market and inflow uncertainty is a premise for both these steps. We define the following major research tasks: 1. Modelling of uncertainty; how to model inflow and prices in the different short-term markets and their interdependence is crucial as this will be the input to the bidding models. 2. Multi-market modelling; there is a need to develop general knowledge about integrated markets, how to model their co-existence and how to obtain consistent and robust bidding strategies. 3. Hydropower bidding model; the modelling of balancing capabilities in the hydropower production system will be aligned with the balancing market extensions.

Publications from Cristin

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Funding scheme:

ENERGIX-Stort program energi