Flexible robust optimization for Renewable-only VPP bidding on electricity markets with economic risk analysis

H. Nemati, P. Sánchez, L. Sigrist, L. Rouco, A. Ortega

International Journal of Electrical Power & Energy Systems Vol. 167, pp. 110594-1 - 110594-17

Summary:

This paper investigates the joint participation of Renewable-only Virtual Power Plants (RVPPs) in the energy and reserve markets while considering the imbalance costs in the balancing market. Existing research on robust optimization typically relies on the well-known parameter called the uncertainty budget to define the level of conservatism. However, this parameter is not defined based on economic factors but rather on the nature of each uncertainty. This work introduces a regret-based flexible robust optimization problem to address this gap, accounting for various sources of uncertainty in energy and reserve prices, as well as the production of non-dispatchable renewable energy sources and demand consumption. The concept of average regret is developed and implemented through a set of mixed-integer linear constraints to help the RVPP operator gain relevant economic insights regarding this parameter. Simulation results demonstrate the applicability of the regret-based robust optimization formulation in determining an interpretable level of conservatism against different uncertainties.

Spanish layman's summary:

Este estudio desarrolla un modelo de optimización robusta basado en el coste de oportunidad para Plantas Virtuales de Energía 100% Renovables (RVPPs), abordando incertidumbres de energía y mercado. Proporciona perspectivas económicas sobre niveles de conservatismo y valida su eficacia con simulaciones.

English layman's summary:

This study develops a regret-based robust optimization model for Renewable-only Virtual Power Plants (RVPPs), addressing market uncertainties. It offers economic insights into conservatism levels and shows its efficacy through simulations.

Keywords: Renewable-only Virtual Power Plant; Regret; Flexible robust optimization; Electricity market

JCR Impact Factor and WoS quartile: 5,000 - Q1 (2023)

DOI reference: https://doi.org/10.1016/j.ijepes.2025.110594

Published on paper: June 2025.

Published on-line: March 2025.

Citation:
H. Nemati, P. Sánchez, L. Sigrist, L. Rouco, A. Ortega, Flexible robust optimization for Renewable-only VPP bidding on electricity markets with economic risk analysis. International Journal of Electrical Power & Energy Systems. Vol. 167, pp. 110594-1 - 110594-17, June 2025. [Online: March 2025]