Overordnede kursusmål
Electricity markets are today central in the way we exchange
electricity. The increasing penetration of renewable energy sources
in power systems has a substantial and complex impact on these
electricity markets. In this context, the objective of this course
is to introduce the students to the fundamental aspects of
renewable energy in electricity markets, from the point of view of
both market operators and market participants.
Læringsmål
En studerende, der fuldt ud har opfyldt kursets mål, vil kunne:
- Explain the fundamentals of electricity markets
- Explain various markets, actors, and pricing mechanisms
- Explain the market-clearing process from both optimization and
equilibrium perspectives
- Describe the impact of renewables on electricity markets
- Develop mathematical models including optimization and
equilibrium problems for clearing various electricity markets
- Design mathematical models for market participants enabling
them to make optimal offering strategy decisions under
uncertainty
- Implement some of these mathematical models in Julia or
Python
- Present, analyze, and interpret the numerical results
Kursusindhold
Introduction
Fundamentals of electricity markets
- Supply and demand curves and the merit-order principle
- Definitions of social welfare and equilibrium
- Various pricing mechanisms
- Various electricity markets
- Various market actors
- European versus US electricity markets
- The market-clearing problem as an optimization problem
Market clearing: optimization versus equilibrium
- The market-clearing problem as a competitive equilibrium problem
- Definitions of Nash equilibrium and mixed complementarity
problem
Day-ahead market
- The day-ahead market in practice (focus on Nord Pool)
- The market-clearing problem as an optimization problem
- Verification of the market-clearing price using KKT optimality
conditions
- Network effects: Zonal versus nodal market clearing
Intra-day and balancing markets
- Markets in practice (focus on Nordic markets)
- The market-clearing problem as an optimization problem
- One-price versus two-price balancing settlements
Ancillary service markets
- Ancillary markets in practice (focus on European and Nordic
markets, such as mFRR, aFRR, FCR, FCR-N, and FCR-D)
- The market-clearing problem as an optimization problem
Impacts of renewables in electricity markets
Offering strategy of a price-taker wind power producer
- Price-taker versus price-maker actor
- Offering strategy as a newsvendor problem
- Offering strategy under uncertainty via stochastic programming
- Risk considerations
- Decision quality analysis: Ex-post out-of-sample and cross
validation analysis
Offering strategy of stochastic flexible assets in ancillary
service markets
- Pre-qualifications to bid in in ancillary service markets
- Chance-constrained programming and solution techniques
- A chance-constrained optimization model for offering strategy
Bemærkninger
- You can find lecture slides and example of programming-based
assignments from last years here:
https://www.jalalkazempour.com/teaching
- The evaluation will be based on group reports for course
assignments. Therefore, group management skills are necessary.
Students are responsible of forming their groups.
Sidst opdateret
02. maj, 2024