Robust Optimal Bidding of Wind Energy in the Electricity Markets

Wind Power stands as one of the most promising renewable energy sources to realize an effective decarbonization process. This is leading system operators to improve the integration of wind plants in modern electric grids, representing a great challenge for them. Indeed, the massive proliferation of wind plants has produced several side effects both on the system operation and free market dynamics, which are related to the variable and stochastic nature of the wind. In particular, the high wind generation has caused two opposite effects such as the reduction of energy price in the energy market and the increasing of the balancing costs, which correspond to the increase of reserve amount procured in the ancillary services market. Within this context, the wind producers might find more remunerative taking part also in ancillary services market with the consequence of the necessity of developing tools to support them in the estimation of the best bidding strategy according to the price signals. In light of this, the authors of this paper aim to propose a methodology to supply the expected best strategy, which takes into account the uncertainty sources, such as the wind generation and prices forecasting errors, which characterize this problem. Then, it is here discussed a solution to this issue in the form of a developed robust optimization model, and its effectiveness has been proved by a real case study over a full year of data.