Simultaneously optimizing bidding strategy in pay-as-bid-markets and production scheduling. (January 2022)

• Record Type: Journal Article
• Authors: Varelmann, Tim; Erwes, Nils; Schäfer, Pascal; Mitsos, Alexander
• Is Part Of: Computers & chemical engineering. Volume 157(2022)
• Publication Date: 2022-01
• Subjects: Demand-side management -- Ancillary service markets -- Benders decomposition -- Model-Based bidding strategies; Chemical engineering -- Data processing -- Periodicals; 660.0285
• DOI: 10.1016/j.compchemeng.2021.107610
• Languages: English
• ISSNs: 0098-1354

Abstract

Highlights: Benders decomposition decouples participation in ancillary service market from day-ahead market. Scheduling problem reformulated without integers for strong duality. Scheduling description with cuts describes lower bound when integrality requirements are relaxed. Branch-and-bound-based algorithm performs superior to explicit enumeration. Abstract: The volatility of renewable energy sources leads to the development of electricity markets with different time horizons, where flexible consumers can monetize their flexibility to stabilize the electric grid. From an electricity-user perspective, the optimal monetization strategy and choice of markets is difficult to identify. We consider simultaneous participation in an ancillary service market with pay-as-bid mechanism and a day-ahead market. We develop a formulation based on Benders decomposition that decouples the participation in both markets. This allows to optimally distribute flexibility to bids in an ancillary service market and participation in a day-ahead market via scheduling optimizations. In particular, our formulation allows the optimization problem to be solved with general-purpose nonlinear programming solvers. We demonstrate that using the proposed decomposition is computationally more efficient than our previously published enumeration-based approach.