A Planner-Trader Decomposition for Multimarket Hydro Scheduling

• 成果类型: Article
• 署名作者: Schindler, Kilian; Rujeerapaiboon, Napat; Kuhn, Daniel; Wiesemann, Wolfram
• 署名单位: Swiss Federal Institutes of Technology Domain; Ecole Polytechnique Federale de Lausanne; National University of Singapore; Imperial College London
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2023.2456
• 发表日期: 2024
• 关键词: stochastic optimization; energy; management; MODEL; SYSTEM

摘要

Peak/off-peak spreads on European electricity forward and spot markets are eroding due to the ongoing nuclear phaseout in Germany and the steady growth in photovoltaic capacity. The reduced profitability of peak/off-peak arbitrage forces hydropower producers to recover part of their original profitability on the reserve markets. We propose a bilayer stochastic programming framework for the optimal operation of a fleet of interconnected hydropower plants that sells energy on both the spot and the reserve markets. The outer layer (the planner's problem) optimizes end-of-day reservoir filling levels over one year, whereas the inner layer (the trader's problem) selects optimal hourly market bids within each day. Using an information restriction whereby the planner prescribes the end of-day reservoir targets one day in advance, we prove that the trader's problem simplifies from an infinite-dimensional stochastic program with 25 stages to a finite two-stage stochastic program with only two scenarios. Substituting this reformulation back into the outer layer and approximating the reservoir targets by affine decision rules allows us to simplify the planner's problem from an infinite-dimensional stochastic program with 365 stages to a two-stage stochastic program that can conveniently be solved via the sample average approximation. Numerical experiments based on a cascade in the Salzburg region of Austria demonstrate the effectiveness of the suggested framework.