Where to Market Flexibility? Optimal Participation of Industrial Energy Systems in Balancing-Power, Day-Ahead, and Continuous Intraday Electricity Markets

Nolzen, Niklas; Baumgärtner, Nils; Bardow, André; Leenders, Ludger; Ganter, Alissa

doi:10.48550/ARXIV.2212.12507

Preprint

FZJ-2023-00770

Where to Market Flexibility? Optimal Participation of Industrial Energy Systems in Balancing-Power, Day-Ahead, and Continuous Intraday Electricity Markets

Nolzen, N. ; Ganter, A. ; Baumgärtner, N. ; Leenders, L. ; Bardow, A. (Corresponding author)FZJ*

2022
arXiv

arXiv (2022) [10.48550/ARXIV.2212.12507]

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Please use a persistent id in citations: http://hdl.handle.net/2128/33650 doi:10.48550/ARXIV.2212.12507

Abstract: The rising share of volatile renewable generation increases the demand for flexibility in the electricity grid. Flexible capacity can be offered by industrial energy systems through participation on either the continuous intraday, day-ahead, or balancing-power markets. Thus, industrial energy systems face the problem of where to market their flexible capacity. Here, we propose a method to integrate trading on the continuous intraday market into a multi-market optimization for flexible industrial energy systems. To estimate the intraday market revenues, we employ option-price theory. Subsequently, a multi-stage stochastic optimization determines an optimized bidding strategy and allocates the flexible capacity. The method is applied to a case study of a multi-energy system showing that coordinated bidding in all three considered markets reduces cost most. A sensitivity analysis for the intraday market volatility reveals changing market preferences, thus emphasizing the need for multi-market optimization. The proposed method provides a practical decision-support tool in short-term electricity and balancing-power markets.

Keyword(s): Optimization and Control (math.OC) ; FOS: Mathematics

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