Operations Management in Short Term Power Markets

PhD Defense: Ditte Mølgård Heide-Jørgensen

Titel: Operations Management in Short Term Power Markets

Abstract: Due to large-scale integration of renewable energy, especially wind power, in the electricity systems, the modelling of short-term electricity markets faces new difficulties. Wind power is fluctuating, uncontrollable and hard to predict. This requires stochastic models with more fine-grained time resolutions than previously. In my thesis, I suggest a number of models for handling such challenges. In the first paper, we develop a balancing market model with high time resolution. Our main finding is that for the expected increase in wind power penetration from 2010 to 2020 in Denmark, the cost of balancing fluctuations does not outweigh the benefits of the inexpensive wind power. In the second paper, two different stochastic, multi-stage, real-time market models with a high time resolution are solved by dynamic programming. The fine-grained time resolution reveals profit gains undetectable at the hourly level. Finally, in the third paper we develop equilibrium models for the day-ahead spot and intra-day balancing markets in a sequential market setup and under assumption of imperfect competition. Our focus is the comparison of open-loop and closed-loop formulations, and we find that when having a higher time resolution in the balancing market than in the day-ahead market or when considering a stochastic model with scenarios for the inverse demand function intercept, the differences are of a magnitude that justifies the use of computationally harder but more accurate closed-loop model. 

Supervisor: Ass. Prof. Trine Krogh Boomsma

Assessment committee:
Prof. Rolf Poulsen, Math, Chairman, University of Copenhagen
Prof. Kim Allan Andersen, Aarhus  University
Prof. Miguel F. Anjos, Polytechnique Montréal