Risk-constrained bidding strategy for wind power producer in day-ahead and balancing markets

Abstract

Participation of wind power producer in competitive electricity markets face to numerous challenges is caused by wind power and electricity price uncertainties. For overcome to this challenges the risk-constrained optimal bidding strategy for wind power producer in the short term electricity markets is proposed in this paper. The proposed mathematical model has been solved and optimized based on the stochastic programming method in General Algebraic Modeling System (GAMS) software environment. The comparative results of the three cases of various risk penalty factor, have been shown with the increase of the risk penalty factor, the amount of power bidding in day-ahead electricity market and expected profit decreased. Also, positive imbalance and CVaR are increased.