A sample robust optimal bidding model for a virtual power plant
SCIE
SCOPUS
- Title
- A sample robust optimal bidding model for a virtual power plant
- Authors
- KIM, SEOKWOO; CHOI, DONG GU
- Date Issued
- 2024-08
- Publisher
- Elsevier BV
- Abstract
- In many energy markets, the trade amount of electricity must be committed to before the actual supply. This study explores one consecutive operational challenge for a virtual power plant—the optimal bidding for highly uncertain distributed energy resources in a day-ahead electricity market. The optimal bidding problem is formulated as a scenario-based multi-stage stochastic optimization model. However, the scenario-tree approach raises two consequent issues—scenario overfitting and massive computation cost. This study addresses the issues by deploying a sample robust optimization approach with linear decision rules. A tractable robust counterpart is derived from the model where the uncertainty appears in a nonlinear objective and constraints. By applying the decision rules to the balancing policy, the original model can be reduced to a two-stage stochastic mixed-integer programming model and then efficiently solved by adopting a dual decomposition method combined with heuristics. Based on real-world business data, a numerical experiment is conducted with several benchmark models. The results verify the superior performance of our proposed approach based on increased out-of-sample profits and decreased overestimation of in-sample profits.
- URI
- https://oasis.postech.ac.kr/handle/2014.oak/123148
- DOI
- 10.1016/j.ejor.2024.03.001
- ISSN
- 0377-2217
- Article Type
- Article
- Citation
- European Journal of Operational Research, vol. 316, no. 3, page. 1101 - 1113, 2024-08
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