Coordinated optimization of weekly reserve, day-ahead and balancing energy trade in hydropower

Abstract

We present a model for optimal trade in a weekly power reserve market under day-ahead and balancing market price uncertainty. The model takes the perspective of a price-taking hydropower producer and a case study for the Norwegian market design and a Norwegian multi-reservoir water course for a winter week is presented. We demonstrate how a bid curve for the reserve market can be established through a sensitivity analysis on reserve prices, and observe that the optimal trade in the succeeding day-ahead and balancing market is highly sensitive to the reserve obligation.