November 27, 2018
CORE, room b-135
The Value of Coordination in Multimarket Bidding of Electricity Storage
David Wozabal, Technical University Munich
We consider the problem of a power generating company with storage capacity that trades in a multi-settlement electricity market with a day-ahead auction and a continuous intraday market. To participate in the day-ahead auction, the company submits price-dependent bids one day ahead of delivery. After accepted bids are announced, the company can rebalance its positions by continuous trading in the intraday market until open positions must be physically closed. Most generating companies do not coordinate these decisions, but independently construct bidding curves and then perform intraday trading. Computing the value added for a real storage entails solution of a high-dimensional sequential decision problem under uncertainty. We formulate the problem as a multistage stochastic program and propose a solution based on approximate dual dynamic programming. To measure the added value for a real storage, we propose an econometric price model for the European EPEX-SPOT market. We find that a coordinated bidding strategy leads to significantly higher profits than a sequential one and that coordinated bids enable intraday adjustments of the operational schedule.