Optimal operation value of combined wind power and energy storage in multi-stage electricity markets.

Highlights • We analyze the economic value of participating in multi-stage electricity markets. • The party submitting bids is a wind power producer with generic energy storage system. • The market analyzed as a case analysis has eight sub-markets. We condensate them into one. • We consider uncertainty in power production and prices. We propose a common modeling basis. • We analyze a number of scenarios comprising power and price differences. Abstract This paper provides a methodology to compute the optimal bidding by a wind power producer in a multi-stage market. The methodology is not restricted to the two-stage markets often reported in the literature—a day-ahead bid submission followed by an adjustment in the imbalance market. Instead, it allows studying any number of markets operating on the same dispatch hour. Particularly, this paper analyzes part of the Spanish market, covering the day-ahead, the six intraday, and the imbalance market. They are markets with different schedules, but this paper shows that by simply rearranging the market prices into a single equivalent market and employing the increments of power as bids, the calculations are visibly simplified; despite the different scope and gate closures. The methodology also includes a dynamic programming approach that relies on the equivalent market data to provide an optimal bidding sequence and its economic value when (i) uncertain prices and wind power production are considered, and (ii) energy storage is employed. As an application, the proposed methodology is employed to analyze the revenues derived by a wind power producer using ESS in the Spanish market. [ABSTRACT FROM AUTHOR]