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This paper presents a technique to derive the best offering strategy for a wind power producer in an electricity market that includes various trading floors. Uncertainty pertaining to wind availability, market prices at the different trading stages, and balancing energy needs are properly taken into account. Risk on profit variability is suitably controlled at the cost of a small reduction in expected profit. The proposed technique translates into a linear programming problem of moderate size, which is readily solvable using commercially available software. A variety of numerical case studies demonstrate the interest and effectiveness of the proposed technique. Appropriate conclusions are duly drawn.
Morales et al. (Tue,) studied this question.