Risk-Constrained Combined Bidding Strategy for Arbitrage of a Wind Farm with Power-to-Gas in a Generation Company

This paper proposes a risk-constrained combined bidding strategy for wind power producers with P2G facilities. The combination framework of optimizing the profit of a wind farm with P2G is presented, in which wind power participates in day-ahead, real-time and reserve markets and P2G facility participates in day-ahead and reserve markets for arbitrage. The benefits of utilizing P2G facility to sell produced natural gas and provide reserve for wind power are analyzed, and conditional value-at-risk (CVaR) is utilized to quantify the financial risks. The individual and combined bidding strategies are modeled based on stochastic programming to maximize the expected profits of wind power producers, respectively. Numerical results based on real world market data demonstrate that P2G facility in day-ahead energy and reserve markets can increase the profits of wind power producer and reduce the amount of bidden reserve.