Day-Ahead Market Bidding for a Nordic
Hydropower Producer: Taking the Elbas
Market into Account

E. Faria; St..-E. Fleten

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SPEPS Preprint

Author(s):	E. Faria, Pontefical Catholic University of Rio de Janeiro St..-E. Fleten, Norwegian Univ. of Science and Technology
Title:	Day-Ahead Market Bidding for a Nordic Hydropower Producer: Taking the Elbas Market into Account
Date of Acceptance:	16.10.2009
Submission Date:	15.09.2009
Series Title:	Stochastic Programming E-Print Series (SPEPS)
Editors:	Julie L. Higle; Werner Römisch; Surrajeet Sen
Complete Preprint:	pdf (urn:nbn:de:kobv:11-100101223)
Keywords (eng):	GARCH, stochastic programming, hydroelectric scheduling, mixed integer programming, electricity auctions, Elbas
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Abstract (eng):

In many power markets around the world the energy generation decisions result from two-sided auctions in which producing and consuming agents submit their price-quantity bids. The determination of optimal bids in power markets is a complicated task that has to be undertaken every day. In the present work, we propose an optimization model for a price-taker hydropower producer in Nord Pool that takes into account the uncertainty in market prices and both production and physical trading aspects. The day-ahead bidding takes place a day before the actual operation and energy delivery. After this round of bidding, but before actual operation, some adjustments in the dispatched power (accepted bids) have to be done, due to uncertainty in prices, inflow and load. Such adjustments can be done in the Elbas market, which allows for trading physical electricity up to one hour before the operation hour. This paper uses stochastic programming to determine the optimal bidding strategy and the impact of the possibility to participate in the Elbas. ARMAX and GARCH techniques are used to generate realistic market price scenarios taking into account both day-ahead price and Elbas price uncertainty. The results show that considering Elbas when bidding in the day-ahead market does not significantly impact neither the profit nor the recommended bids of a typical hydro producer.

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