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Energies 2014, 7(4), 2317-2342; doi:10.3390/en7042317
Article

Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach

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Received: 13 October 2013; in revised form: 24 March 2014 / Accepted: 8 April 2014 / Published: 11 April 2014
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Abstract: This paper analyzes a price-taker hydro generating company which participates simultaneously in day-ahead energy and ancillary services markets. An approach for deriving marginal cost curves for energy and ancillary services is proposed, taking into consideration price uncertainty and opportunity cost of water, which can later be used to determine hourly bid curves. The proposed approach combines an hourly conditional value-at-risk, probability of occurrence of automatic generation control states and an opportunity cost of water to determine energy and ancillary services marginal cost curves. The proposed approach is in a linear constraint form and is easy to implement in optimization problems. A stochastic model of the hydro-economic river basin is presented, based on the actual Vinodol hydropower system in Croatia, with a complex three-dimensional relationship between the power produced, the discharged water, and the head of associated reservoir.
Keywords: hydropower plant; opportunity cost; water shadow price; day-ahead market; risk-aversion; conditional value at risk; ancillary services hydropower plant; opportunity cost; water shadow price; day-ahead market; risk-aversion; conditional value at risk; ancillary services
This is an open access article distributed under the Creative Commons Attribution License which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

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MDPI and ACS Style

Ilak, P.; Krajcar, S.; Rajšl, I.; Delimar, M. Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach. Energies 2014, 7, 2317-2342.

AMA Style

Ilak P, Krajcar S, Rajšl I, Delimar M. Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach. Energies. 2014; 7(4):2317-2342.

Chicago/Turabian Style

Ilak, Perica; Krajcar, Slavko; Rajšl, Ivan; Delimar, Marko. 2014. "Pricing Energy and Ancillary Services in a Day-Ahead Market for a Price-Taker Hydro Generating Company Using a Risk-Constrained Approach." Energies 7, no. 4: 2317-2342.


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