An IGDT-WDRCC based optimal bidding strategy of VPP aggregators in new energy market considering multiple uncertainties

Jun-Hyeok Kim, Jin Sol Hwang and Yun-Su Kim

Energy, 2024, vol. 313, issue C

Abstract: This study addresses the volatility and uncertainty challenges in managing renewable energy within electricity markets, particularly focusing on the role of Virtual Power Plant (VPP) aggregators. Recognizing the risks these uncertainties pose to the revenue and stability of power systems, the paper presents a novel information gap decision theory (IGDT)-Wasserstein metric based distributionally robust chance constraint (WDRCC) approach to devise an optimal bidding strategy for VPP operators. It involves a data-driven distributionally robust optimization framework, leveraging the worst-case scenario from the distributed resource uncertainties, guided by an ambiguity set rooted in the Wasserstein metric. Furthermore, the distributionally robust chance constraint modeling is introduced ensuring that uncertainty constraints of distributed resources meet a predefined risk level. Although this method shows promising out-of-sample performance, it relies on forecasted energy prices, a notable limitation given the price volatility and information inadequacy in the newly-opened market. To address this, the risk-averse bidding strategy, grounded in IGDT, is proposed simulataneously to safeguard the operator’s expected returns against price uncertainties, implementing an advanced piecewise linear approximation technique, ”nf4l,” for linearizing the bi-linear term from IGDT. The effectiveness of this approach is empirically validated through a comprehensive case study and sensitivity analysis.

Keywords: Bi-linear approximation; Distributionally robust chance constraint; Information gap decision theory; Optimal bidding strategy; Virtual power plant; Wasserstein-metric ambiguity set (search for similar items in EconPapers)
Date: 2024
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Persistent link: https://EconPapers.repec.org/RePEc:eee:energy:v:313:y:2024:i:c:s036054422403490x

DOI: 10.1016/j.energy.2024.133712

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