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Design a Comprehensive Risk Management Framework for Electricity Markets

Ghorani, Rahim | 2018

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  1. Type of Document: Ph.D. Dissertation
  2. Language: Farsi
  3. Document No: 56116 (05)
  4. University: Sharif University of Technology
  5. Department: Electrical Engineering
  6. Advisor(s): Fotuhi Firuzabad, Mahmud
  7. Abstract:
  8. The penetration of variable energy resources together with the utilization of price sensitive loads have intensified supply and demand uncertainties in power systems. Accordingly, system operators and market participants are now seeking for new ways of managing risks within the power system. In this thesis, the risk management is studied from the viewpoints of market participants, transactive market operators and wholesale market operators. In this regard, the optimal bidding strategy of a market participant who participate in wholesale or transactive electricity markets is studied in chapter 3. To reach this goal, behaviors of both risk-neutral and risk-averse agents are modeled taking into account expected profit and risk criteria. Subsequently, an optimal multi-step quantity-price bidding strategies of risk-neutral and risk-averse agents are extracted. In this context, this chapter: 1) introduces the effective metrics and criteria for evaluating a bidding strategy; 2) provides all theorems and lemmas required for reaching an optimal bidding strategy for either a risk-neutral or risk-averse agent; and 3) evaluates and presents the developed approach for different market environments. One of the major challenges of integrating distribution level producers/consumers (prosumers) into the transactive energy market is that the prosumers are not able to precisely predict their energy exchange with the market. This is because small prosumers usually operate intermittent renewable sources and have highly uncertain consumptions. As a consequence, traditional wholesale market mechanisms cannot be implemented in the transactive environment, as they penalise the participants with uncertain energy transactions, and therefore discourage the small prosumers from participating in the market. To this end, novel market design is introduced in chapter 4, which enables distribution system operator to incorporate both the submitted price–quantity bids and the associated risks of prosumers into the settlement process. The proposed market design maximises the social welfare while managing the undesired costs caused by the stochastic nature of participants. The settlement mechanism is formulated as a quadratic problem, which can be efficiently solved for the transactive energy markets with a large number of participants. In wholesale electricity markets, the errors in forecasting distributed energy resources (DERs) and hourly demands have also contributed to power system uncertainties and additional risks in the day-ahead scheduling. In chapter 4, a risk-based approach is introduced to determine the stochastic solution of security-constrained unit commitment (SCUC) when additional uncertainties are embedded in the power system scheduling. The historical power market transaction data are used to model nodal injection uncertainties and reserve capacity requirements are considered to assess the solution of the risk-based SCUC. The proposed SCUC problem is formulated as a single-stage second order cone program which is a convex algorithm. The proposed approach provides an efficient solution for large-scale stochastic problems and helps accommodate the DER variabilities in secure and economic operations of power systems
  9. Keywords:
  10. Power Market ; Risk Management ; Renewable Energy Resources ; Energy Retailing ; Uncertainty ; Demand Response ; Electricity Market

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