Optimal sharing of quantity risk for a coalition of wind power producers facing nodal prices

Handle URI:
http://hdl.handle.net/10754/599096
Title:
Optimal sharing of quantity risk for a coalition of wind power producers facing nodal prices
Authors:
Bitar, E. Y.; Baeyens, E.; Khargonekar, P. P.; Poolla, K.; Varaiya, P.
Abstract:
It is widely accepted that aggregation of geographically diverse wind energy resources offers compelling potential to mitigate wind power variability, as wind speed at different geographic locations tends to decorrelate with increasing spatial separation. In this paper, we explore the extent to which a coalition of wind power producers can exploit the statistical benefits of aggregation to mitigate the risk of quantity shortfall with respect to forward contract offerings for energy. We propose a simple augmentation of the existing two-settlement market system with nodal pricing to permit quantity risk sharing among wind power producers by affording the group a recourse opportunity to utilize improved forecasts of their ensuing wind energy production to collectively modify their forward contracted positions so as to utilize the projected surplus in generation at certain buses to balance the projected shortfall in generation at complementary buses. Working within this framework, we show that the problem of optimally sizing a set of forward contracts for a group of wind power producers reduces to convex programming and derive closed form expressions for the set of optimal recourse policies. We also asses the willingness of individual wind power producers to form a coalition to cooperatively offer contracts for energy. We first show that the expected profit derived from coalitional contract offerings with recourse is greater than that achievable through independent contract offerings. And, using tools from coalitional game theory, we show that the core for our game is non-empty.
Citation:
Bitar EY, Baeyens E, Khargonekar PP, Poolla K, Varaiya P (2012) Optimal sharing of quantity risk for a coalition of wind power producers facing nodal prices. 2012 American Control Conference (ACC). Available: http://dx.doi.org/10.1109/ACC.2012.6315524.
Publisher:
Institute of Electrical and Electronics Engineers (IEEE)
Journal:
2012 American Control Conference (ACC)
KAUST Grant Number:
025478
Issue Date:
Jun-2012
DOI:
10.1109/ACC.2012.6315524
Type:
Conference Paper
Sponsors:
Supported in part by OOF991-KAUST US LIMITED under awardnumber 025478, the UC Discovery Grant ele07-10283 under the IMPACTprogram, NSF under Grant EECS-0925337, NSF Grant ECCS-1129061,and the Florida Energy Systems Consortium. Thanks to Ram Rajagopal formany helpful discussions.
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Publications Acknowledging KAUST Support

Full metadata record

DC FieldValue Language
dc.contributor.authorBitar, E. Y.en
dc.contributor.authorBaeyens, E.en
dc.contributor.authorKhargonekar, P. P.en
dc.contributor.authorPoolla, K.en
dc.contributor.authorVaraiya, P.en
dc.date.accessioned2016-02-25T13:52:47Zen
dc.date.available2016-02-25T13:52:47Zen
dc.date.issued2012-06en
dc.identifier.citationBitar EY, Baeyens E, Khargonekar PP, Poolla K, Varaiya P (2012) Optimal sharing of quantity risk for a coalition of wind power producers facing nodal prices. 2012 American Control Conference (ACC). Available: http://dx.doi.org/10.1109/ACC.2012.6315524.en
dc.identifier.doi10.1109/ACC.2012.6315524en
dc.identifier.urihttp://hdl.handle.net/10754/599096en
dc.description.abstractIt is widely accepted that aggregation of geographically diverse wind energy resources offers compelling potential to mitigate wind power variability, as wind speed at different geographic locations tends to decorrelate with increasing spatial separation. In this paper, we explore the extent to which a coalition of wind power producers can exploit the statistical benefits of aggregation to mitigate the risk of quantity shortfall with respect to forward contract offerings for energy. We propose a simple augmentation of the existing two-settlement market system with nodal pricing to permit quantity risk sharing among wind power producers by affording the group a recourse opportunity to utilize improved forecasts of their ensuing wind energy production to collectively modify their forward contracted positions so as to utilize the projected surplus in generation at certain buses to balance the projected shortfall in generation at complementary buses. Working within this framework, we show that the problem of optimally sizing a set of forward contracts for a group of wind power producers reduces to convex programming and derive closed form expressions for the set of optimal recourse policies. We also asses the willingness of individual wind power producers to form a coalition to cooperatively offer contracts for energy. We first show that the expected profit derived from coalitional contract offerings with recourse is greater than that achievable through independent contract offerings. And, using tools from coalitional game theory, we show that the core for our game is non-empty.en
dc.description.sponsorshipSupported in part by OOF991-KAUST US LIMITED under awardnumber 025478, the UC Discovery Grant ele07-10283 under the IMPACTprogram, NSF under Grant EECS-0925337, NSF Grant ECCS-1129061,and the Florida Energy Systems Consortium. Thanks to Ram Rajagopal formany helpful discussions.en
dc.publisherInstitute of Electrical and Electronics Engineers (IEEE)en
dc.titleOptimal sharing of quantity risk for a coalition of wind power producers facing nodal pricesen
dc.typeConference Paperen
dc.identifier.journal2012 American Control Conference (ACC)en
dc.contributor.institutionDepartment of Electrical Engineering and Computer Science, U.C. Berkeleyen
dc.contributor.institutionDepartment of Computing and Mathematical Sciences, Caltechen
dc.contributor.institutionInstituto de las Tecnolog─▒as Avanzadas de la Produccion, Universidad de Valladolid, Spainen
dc.contributor.institutionDepartment of Electrical and Computer Engineering, University of Floridaen
dc.contributor.institutionDepartment of Electrical Engineering and Computer Science, U.C. Berkeleyen
kaust.grant.number025478en
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