Strategic Participation of Multi-energy Retailer in Energy Markets: A Stochastic p-Robust Approach

The advancement of integrated energy system and storage equipment such as combined heat-power facilities, hydrogen energy storage, and natural gas energy storage has accelerated the emergence of multi-energy retailers. Instead of treating them as price-takers in energy markets, this paper investigates the strategic participation of a multi-energy retailer in multi-energy markets as a price-maker. A bi-level optimization model is established to characterize the interaction between the multi-energy retailer and market operators. In the upper level, the multi-energy retailer submits bids to the wholesale electricity market and the natural gas market. In the lower level, the market operators clear the market to maximize social welfare and return the marginal clearing prices. The primal-dual optimality condition and piecewise McCormick envelope technique are used to transform the bi-level model into a single-level optimization model. Unlike the traditional stochastic optimization and robust optimization methods, a novel stochastic p-robust method is proposed to guarantee the relative regret level of the target profit in each possible scenario of renewable energy output and multi-energy demand. Finally, numerical experiments validate the effectiveness and advantages of the proposed method.