Day-Ahead Self Scheduling of A Virtual Power Plant in Energy and Reserve Electricity Markets Under Uncertainty

This article has been accepted for publication in a future issue of this journal, but has not been
fully edited. Content may change prior to final publication. Citation information: DOI 10.1109/TPWRS.2018.2883753, IEEE
Transactions on Power Systems
IEEE TRANSACTIONS ON POWER SYSTEMS 1
Day-Ahead Self Scheduling of a Virtual Power

Plant in Energy and Reserve Electricity Markets
under Uncertainty
Ana Baringo, Luis Baringo, Member, IEEE, and José M. Arroyo, Senior Member, IEEE
Abstract—This paper proposes a novel model for the day-ahead ΥLL , ΥML , ΥUL Sets of decision variables of the lower, mid-
self-scheduling problem of a virtual power plant trading in both dle, and upper levels.
energy and reserve electricity markets. The virtual power plant ΨD , ΨO Sets of decision variables of the deterministic
comprises a conventional power plant, an energy storage facility,
a wind power unit, and a flexible demand. This multi-component problem and the problem solved in the out-
system participates in energy and reserve electricity markets as a of-sample assessment.
single entity in order to optimize the use of energy resources. As ΨLS , ΨM , ΨS Sets of decision variables of the linearized
a salient feature, the proposed model considers the uncertainty subproblem, the master problem, and the
associated with the virtual power plant being called upon by single-level equivalent of the subproblem.
the system operator to deploy reserves. Additionally, uncertainty
in available wind power generation and requests for reserve Ω Set of scenario indexes ω.
deployment is modeled using confidence bounds and intervals,
respectively, while uncertainty in market prices is modeled using B. Parameters
scenarios. The resulting model is thus cast as a stochastic adaptive
robust optimization problem which is solved using a column- C C,F , C C,V Fixed and variable cost coefficients of the
and-constraint generation algorithm. Results from a case study conventional power plant (CPP) [$, $/MWh].
illustrate the effectiveness of the proposed approach. DD Minimum daily energy consumption of the
Index Terms—Robust optimization, self scheduling, stochastic flexible demand [MWh].
programming, uncertainty, virtual power plant. K R+ , K R− Up- and down-reserve request coefficients
[p.u.].
N OTATION N Penalty cost coefficient for slack variables
The main notation of this paper is stated below, where, [$/MWh].
C
for the sake of conciseness, subscripts t and ω denoting time P C, P Lower and upper bounds for the power gen-
period and scenario indexes are dropped. Additional symbols eration of the CPP [MW].
D
with subscript “ν ′ ” are used to represent new variables cor- P D, P Minimum and maximum power consumption
responding to iteration ν ′ . Note that the value of a specific levels of the flexible demand [MW].
E
variable at iterations ν and ν ′ is represented by superscripts P E, P Minimum and maximum power levels that
“(ν)” and “(ν ′ )”, respectively. In the out-of-sample assess- can be traded in the energy market [MW].
ment, subscript “o” and superscript “(o)” respectively denote R+ R−
P ,P Maximum power that can be traded in the
new variables and parameters for sample o. up- and down-reserve markets [MW].
S,C S,D
P ,P Charging and discharging capacities of the
A. Sets and Indexes
storage unit [MW].
O Set of sample indexes o. P W,A Available wind power generation [MW].
T Set of time period indexes t. P̃ W,A , P̂ W,A Average and fluctuation levels of the avail-
Θ Feasibility set. able wind power generation [MW].
Λ Uncertainty set. RC,D , RC,U Down and up ramping limits of the CPP
ν, ν ′ Indexes for the iterations of the column-and- [MW/h].
constraint generation algorithm. RC,SD , RC,SU Shut-down and start-up ramp rates of the
LL′
Υ Set of lower-level decision variables of the CPP [MW/h].
subproblem. S0S Initial stored energy of the storage unit
[MWh].
S
This work has been partially funded by the Ministry of Science, Innovation, S S, S Lower and upper bounds for the stored en-
and Universities of Spain under Projects ENE2018-96180-R and ENE2018- ergy of the storage unit [MWh].
98730-R (MINECO/FEDER, UE), and the Junta de Comunidades de Castilla-
La Mancha under Grant PREJCCM2016/05. SDCC , SUCC Shut-down and start-up cost coefficients of
A. Baringo, L. Baringo, and J. M. Arroyo are with the Depar- the CPP [$].
tamento de Ingenierı́a Eléctrica, Electrónica, Automática y Comunica- U0C Initial on/off scheduling status of the CPP.
ciones, E.T.S.I. Industriales, Universidad de Castilla-La Mancha, Ciu-
dad Real, Spain (e-mails: Ana.Baringo@uclm.es, Luis.Baringo@uclm.es, ΓR Reserve uncertainty budget.
JoseManuel.Arroyo@uclm.es). ΓW Wind uncertainty budget.
0885-8950 (c) 2018 IEEE. Personal use is permitted, but republication/redistribution requires IEEE permission. See http://www.ieee.org/publications_standards/publications/rights/index.html for more information.
This article has been accepted for publication in a future issue of this journal, but has not been fully edited. Content may change prior to final publication. Citation information: DOI 10.1109/TPWRS.2018.2883753, IEEE
∆t Duration of time periods [h]. large-scale penetration of renewable-based power production

η S,C , η S,D Charging and discharging efficiency rates of in existing generation portfolios. One of the handicaps of
the storage unit [p.u.]. renewable units is their uncertain and variable production,
λE Energy market price used in the scenario- which is an obstacle for their participation in electricity
based uncertainty representation [$/MWh]. markets. Combining renewable units with other technologies
bR+ , λ
λ bR− Capacity prices for up- and down-reserve such as conventional generating units, storage facilities, or
markets used in the scenario-based uncer- flexible demands might be a solution to either supply energy
tainty representation [$/MW]. when the renewable production is low or store energy if the
λR+ , λR− Up- and down-reserve energy prices used in renewable production is high. Such a combination yields the
the scenario-based uncertainty representation notion of virtual power plant (VPP), which can be defined as
[$/MWh]. an aggregation of different distributed energy resources that
µE Energy market price used in the deterministic operate as a single entity [1]. Relevant examples of real-life
problem and in the problem solved in the VPPs can be found in [2]–[4]. In addition, the interested reader
out-of-sample assessment [$/MWh]. is referred to [5] for a recent literature review on approaches
bR+ , µ
µ bR− Capacity prices for up- and down-reserve for VPP operation.
markets used in the deterministic problem Within the context of the electricity markets implemented
and in the problem solved in the out-of- across Europe and the U.S., this paper addresses the self-
sample assessment [$/MW]. scheduling problem of a VPP trading energy and reserves in
µR+ , µR− Up- and down-reserve energy prices used in a day-ahead setting. The VPP under consideration comprises
the deterministic problem and in the prob- a conventional power plant (CPP), a storage facility, a wind
lem solved in the out-of-sample assessment power unit, and a flexible demand. Hence, this problem
[$/MWh]. consists in deciding one day ahead the levels of power and
πω Probability of occurrence of scenario ω reserves that maximize the overall profit of the VPP under
[p.u.]. uncertainty. Uncertainty sources of this problem are market
prices, available wind power generation, and the requests by
C. Variables the system operator to deploy reserves.
Some relevant closely related works are [6]–[11]. Reference
h+ , h− Slack variables used in the subproblem and
[6] uses a deterministic price-based unit commitment model to
in the problem solved in the out-of-sample
address the bidding strategy of a VPP. Zhao et al. [7] solve a
assessment [MW].
stochastic bilevel optimization problem in order to devise the
k R+ , k R− Up- and down-reserve requests [p.u.].
least-cost bidding strategy of a VPP in both day-ahead and
pC Power generation of the CPP [MW].
balancing energy markets. In [8], robust optimization without
pD Power consumption of the flexible demand
recourse is implemented to address the bidding strategy of a
[MW].
VPP in the day-ahead and real-time markets under uncertain
pE Power traded in the energy market [MW].
market prices and wind power production. The optimal risk-
pR+ , pR− Power capacity traded in the up- and down-
averse offering strategy for a VPP trading in a joint market for
reserve markets [MW].
energy and spinning reserve is modeled in [9]. Uncertainties in
pS,C , pS,D Charging and discharging power levels of the
renewable-based generation, calls for the reserve service, and
storage unit [MW].
prices in electricity markets are characterized through a two-
pW Production of the wind power unit [MW].
stage stochastic programming approach. The application of
pW,A Available production of the wind power unit
stochastic programming for the medium-term self scheduling
[MW].
of a VPP that cooperates with neighbour VPPs and trades
sS Stored energy of the storage unit [MWh].
energy in an electricity market is proposed in [10]. In the
uC Variable that is equal to 1 if the CPP is
recent work [11], a new approach is presented for the offering
generating electricity, being 0 otherwise.
strategy of a VPP in the day-ahead energy market wherein
uW+ , uW− Binary variables that are equal to 1 if the
uncertainties in wind power production and market prices are
worst-case available wind power generation
modeled with confidence bounds and scenarios, respectively.
is equal to its upper and lower bounds, being
In spite of their relevance, some important practical aspects
0 otherwise.
are disregarded by existing approaches. Note that reserve
v C,SD , v C,SU Variables representing the shut-down and
market trading is ignored in [7], [8], [10], and [11]. Further-
start-up statuses of the CPP.
more, uncertainty is neglected in [6], while the approaches
ϑ Auxiliary variable of the master problem.
described in [7]–[10] rely on a far unrealistic assumption,
namely, the availability of an accurate characterization of
I. I NTRODUCTION all uncertainty sources. Such an assumption is particularly
N OWADAYS, environmental concerns have boosted the

production of electricity from renewable units. Neverthe-
less, despite the significant technological improvements made
questionable for wind power generation and for the requests by
the system operator to deploy reserves due to the intermittency
of the former and the lack of publicly available historical
over the last decade, several operational issues hinder the data for the latter. Therefore, new approaches for the self-
scheduling problem of a VPP participating in energy and improves the computational performance of the proposed
reserve electricity markets are yet to be explored. decomposition-based method.
Built on our previous work [11], this paper describes the The contributions of this paper are threefold:
combination of scenario-based stochastic programming [12] 1) A novel stochastic ARO approach is provided for the
and adaptive robust optimization (ARO) [13] to consider re- self-scheduling problem of a VPP trading in energy and
serve trading in the self scheduling of a VPP. The incorporation reserve electricity markets.
of this practical aspect constitutes a relevant extension of [11] 2) For the first time in the literature, a model relying on
due to the increased complexity of the optimization process, intervals is provided to characterize the uncertainty in
wherein uncertain reserve deployments become part of the the requests for reserve deployment.
constraint set. Note that self-scheduling decisions driven by 3) The resulting trilevel optimization problem is effectively
the imprecise characterization of such uncertain parameters solved using an enhanced CCGA, as compared with
may lead to not only suboptimal but also infeasible VPP our previous closely related work [11]. The use of
operation. In order to address this issue, the resulting stochastic the Karush-Kuhn-Tucker (KKT) optimality conditions
ARO formulation features a significant modeling novelty with reported in [11] to tackle the subproblem is here replaced
respect to [6]–[11], namely the characterization of the requests with the application of the duality theory of linear
for reserve deployment using intervals. Moreover, uncertain programming. As a consequence, the dimension of the
market prices are modeled using scenarios, as is usual in single-level equivalent for the subproblem is signifi-
previous works dealing with VPPs [9]–[11], while the uncer- cantly reduced, which is beneficial from a computational
tainty in available wind power generation levels is represented perspective.
through confidence bounds, as is customary in related works The rest of this paper is organized as follows. Section II
for generation scheduling under uncertainty [14]–[20]. Conse- presents the problem formulation. Section III is devoted to the
quently, different from the relevant literature contributions [6]– solution methodology. Results from a case study are provided
[11], the proposed approach allows effectively incorporating and analyzed in Section IV. Section V closes the paper with
reserve trading in the self-scheduling problem while properly some remarkable conclusions and future avenues of research.
accounting for all uncertainty sources involved. Finally, the linearization of the subproblem is described in the
The proposed stochastic ARO model is formulated as a Appendix.
trilevel problem that involves three nested optimization levels.
This problem can be addressed by replacing the two lower- II. F ORMULATION
most optimization levels with a set of constraints modeling This section provides the formulation of the self-scheduling
the reaction of the VPP against every possible realization problem of a VPP trading in energy and reserve electricity
of reserve deployment requests and available wind power markets. In order to facilitate the understanding of the pro-
generation [21]. In order to overcome the intractability issue posed model, we first present a deterministic instance followed
of the realization-dependent approach, suitable decomposition- by the description of the uncertainty characterization.
based methods for structurally similar instances of trilevel pro-
gramming are available such as Benders decomposition [15] A. Deterministic Model
and the column-and-constraint generation algorithm (CCGA) In this simpler formulation, available wind power genera-
[22]. Both techniques involve the iterative solution of a master tion, requests for reserve deployment, and market prices are
problem representing an approximation of the original trilevel considered known parameters. Based on [9], the deterministic
program, and a subproblem associated with the two lowermost model is formulated as the following mixed-integer linear
optimization levels. The only distinctive aspect featured by program:
both methods arises in the master problem. Under a Benders X
R+ R+ R+
decomposition framework, the master problem relies on the maxΨD µE p
t t
E
∆t + b
µ t + K t µ t ∆t pR+
t
iterative addition of cutting planes with dual information t∈T

from the subproblem. In contrast, the CCGA gives rise to + bR−
− KtR− µR−
µ t t ∆t p R−
t − C C,F uC
t +C
C,V C
pt ∆t
a master problem wherein decision variables (columns) and
primal lower-level constraints are iteratively added based on + SUCC vtC,SU + SDCC vtC,SD (1a)
the solution of the preceding subproblem.
Motivated by the superior performance over Benders de- subject to:
composition [22] and recent examples of successful appli- R+ R+ S,D
pE
t + K t pt − KtR− pR−
t = pW D C
t − pt + pt + pt
cation for power system operation [18]–[20] and planning
[23] problems, the proposed solution approach relies on the − pS,C
t , ∀t ∈ T (1b)
CCGA. It is worth emphasizing that the proposed methodology E E
P ≤ pE
t ≤ P , ∀t ∈ T (1c)
guarantees finite convergence to the optimal solution. As a R+
distinctive methodological feature in comparison with our 0≤ pR+
t ≤P , ∀t ∈ T (1d)
previous work [11], we use an equivalent binary-variable- R−
0 ≤ pR−t ≤ P , ∀t ∈ T (1e)
based representation of the uncertainty set. This equivalent C,SD
uncertainty characterization enables the application of the uC
t , vt ∈ {0, 1} , ∀t ∈T (1f)
C,SU
duality theory of linear programming, which substantially vt ≥ 0, ∀t ∈ T (1g)
C,SU
uC C
t − ut−1 = vt − vtC,SD , ∀t ∈ T (1h) Constraints (1n)–(1q) model the operation of the storage
C unit. Constraints (1n) and (1o) bound the charging and dis-
P C uC
t ≤ pC
t ≤ P uC
t , ∀t ∈T (1i)
charging power levels, respectively. Constraints (1p) establish
pC
t − pC
t−1 ≤ RC,U uC
t−1 + RC,SU vtC,SU ∆t, ∀t ∈ T (1j) the energy storage level at every time period. Constraints (1q)
set the limits on the energy stored at every time period.
pC C
t−1 − pt ≤ R ut + RC,SD vtC,SD ∆t, ∀t ∈ T
C,D C
(1k) Finally, constraints (1r) limit the wind power production.
D
PD D
t ≤ pt ≤ P t , ∀t ∈ T (1l) B. Uncertainty Characterization
X
D
pD
t ∆t ≥ D (1m) In the deterministic problem (1), market prices, available
t∈T wind power generation, and requests for reserve deployment
S,C
0 ≤ pS,C
t ≤P , ∀t ∈ T (1n) are assumed to be known by the VPP. In a practical setting
S,D [21], [26], the self-scheduling problem under consideration
0≤ ptS,D
≤ P , ∀t ∈ T (1o) is solved one day in advance and, hence, these pieces of

1 S,D information are uncertain and unknown.
sSt = sSt−1 + η S,C pS,C
t − p ∆t, ∀t ∈ T (1p)
η S,D t Decision making under uncertain parameters can be handled
S by scenario-based stochastic programming [12]. Within such
S St ≤ sSt ≤ S t , ∀t ∈ T (1q)
a framework, uncertainty is characterized by a pre-specified
0≤ pW
t ≤ PtW,A , ∀t ∈T (1r) discrete set of realizations or scenarios and their corresponding
R+ R− S,C S,D
probabilities of occurrence.
where the set ΨD = pC D E
t , pt , pt , pt , pt , pt , pt , pt ,
W
The accuracy of the uncertainty representation strongly
S C C,SD C,SU
st , ut , vt , vt ∀t∈T
includes the optimization variables depends on the knowledge of the actual probability distri-
of problem (1). bution and on the size of the scenario-based discretization.
Problem (1) is driven by the maximization of the total profit Moreover, the accuracy of the uncertainty representation may
of the VPP (1a), which is expressed in terms of the revenues have a significant impact on the solution quality. For uncertain
and costs associated with the participation in the energy and parameters in the objective function, solution optimality is
reserve electricity markets, as well as the operating costs of solely involved. In contrast, for uncertain parameters in the
the CPP. Note that, in the up- and down-reserve
markets, we constraint set, solution quality may be affected in terms of not
consider revenues from both capacity µ bR+
t p R+
t + b
µ R− R−
t p only optimality but also feasibility. Unfortunately, the larger
t the scenario set, and hence the more accurate uncertainty
and energy KtR+ µR+ t p R+
t ∆t − K R− R− R−
t µ t p t ∆t . Vari-
representation, the larger the computational burden. Therefore,
ables pR+
t and pR−t are the power capacities traded in the a tradeoff between accuracy and tractability is required. Such
up- and down-reserve markets, respectively. Analogously, a tradeoff may be hard to implement when probabilistic infor-
KtR+ pR+ R− R−
t ∆t and Kt pt ∆t represent the respective reserve mation is lacking and/or when solution feasibility is involved.
deployments requested by the system operator, which depend For the self-scheduling problem under consideration, un-
on the actual system imbalance and the activation process certainty sources are categorized in two groups according to
for corrective actions [24]. Parameters KtR+ and KtR− lie their presence in the problem formulation, namely 1) market-
in the range [0,1] and thus represent the fractions of the clearing prices for energy and reserves, which appear in the
corresponding capacities that are dispatched by the system objective function, and 2) available wind power generation
operator in the up- and down-reserve markets, respectively. levels and reserve deployment requests, which are part of the
In other words, pR+ t and pR−
t denote the maximum VPP constraint set.
production increase and decrease that can be requested by the The abundance of publicly available information and their
system operator. lack of impact on solution feasibility render market-clearing
Constraints (1b) model the power balance of the VPP. prices suitable for a scenario-based stochastic programming
Constraints (1c)–(1e) set bounds for the power traded in the framework [12], as customarily adopted in the closely related
energy, up-reserve, and down-reserve markets, respectively. literature [9]–[11]. Scenarios for market prices can be gen-
The operation of the CPP is characterized in (1f)–(1k). Binary erated using either historical data, as done in this paper, or
variables are used for on/off statuses and shut-downs (1f), effective forecasting tools [27] such as the ARIMA model
whereas start-ups are represented by nonnegative continuous applied in [11]. Market prices, which are denoted by λE tω ,
variables (1g). Constraints (1h) establish the relationship be- bR+ , λ
λ bR− , λR+ , and λR− , are represented using a finite set
tω tω tω tω
tween these variables and guarantee that start-up variables, of scenarios indexed by ω. Each scenario ω has a probability
albeit continuous, are binary valued. Constraints (1i) bound of occurrence πω , such that the P sum of the probabilities over
the power production of the CPP. Constraints (1j)–(1k) impose all scenarios is equal to 1, i.e., ω∈Ω πω = 1.
the up- and down-ramp capability of the CPP. As for available wind power generation levels and reserve
Based on the demand-side models presented in [8], [11], and deployment requests, we argue that the assumption made
[25], constraints (1l) and (1m) define the demand requirements in [7], [9], and [10] that their probability distributions are
of the VPP. Constraints (1l) impose consumption limits at known is non-trivial. Despite the wide availability of data,
every time period, whereas constraint (1m) sets the minimum the short-term uncertainty characterization of wind power is
energy consumption along the scheduling horizon. still challenging [28]. Moreover, to the best of our knowledge,
no information is publicly available for reserve deployment the worst-case reserve deployment requests. Constraints (2a)
requests. Thus, the use of a computationally tractable set model the integrality of such binary variables. The use of
of scenarios is prone to yield infeasibility when uncertainty the equivalent binary-variable-based representation for wind
unfolds. This is a highly undesirable aspect in the context of power generation uncertainty constitutes an additional major
power system operation, wherein the penalty associated with modeling difference with respect to our previous work disre-
infeasible solutions is very high. garding reserves [11].
Hence, based on the growing body of literature on genera- In (2b), the available wind power generation is expressed in
tion scheduling under uncertainty [14]–[20], [29], we propose terms of the average and fluctuation levels associated with the
dealing with uncertain wind power generation and reserve corresponding confidence bounds. Constraints (2c) guarantee
deployment requests by adjustable robust optimization [13] that the available wind power generation cannot be simultane-
as an alternative to scenario-based stochastic programming. ously equal to the minimum and the maximum values at every
As a result, solution feasibility is ensured for all possible time period. Constraint (2d) controls the conservativeness of
realizations of available wind power generation and reserve the model through the wind uncertainty budget, ΓW , with
deployment requests within a pre-specified deterministic un- values ranging between 0 and |T |. For ΓW = 0, the available
certainty set relying on confidence bounds and intervals. Since wind power generation at each time period is equal to the
such a solution immunization comes at the expense of a corresponding average value, thereby disregarding its uncer-
reduction in the expected profit, the conservativeness of the tainty. On the other hand, the maximum level of uncertainty
solution is controlled by imposing user-defined uncertainty corresponds to ΓW = |T | because variables ptW,A are allowed
budgets. to take values different from the average at all time periods.
For the problem at hand, h wind-related uncertainty is mod- i Regarding the uncertainty in reserve deployment requests,
eled by variables pt ∈ P̃tW,A − P̂tW,A , P̃tW,A + P̂tW,A
W,A constraints (2e) guarantee that the VPP cannot be called upon
to provide both upward and downward reserves at the same
and the uncertainty budget ΓW representing the maximum
time period. Constraint (2f) sets the reserve uncertainty budget,
number of periods at which the available wind power gen-
ΓR , that controls the conservativeness of the model associated
eration experiences fluctuations with respect to the average.
with the requests for reserve deployment. For ΓR = 0, the VPP
Similarly, uncertain requests for the fractional deployment
is never called upon by the system operator to deploy reserves,
of the scheduled reserve capacities are modeled by variables
i.e., ktR+ = ktR− = 0, ∀t ∈ T . In contrast, for ΓR = |T |, the
ktR+ ∈ [0, 1] and ktR− ∈ [0, 1], and the uncertainty budget ΓR ,
VPP can be requested to provide upward or downward reserves
which denotes the maximum number of periods at which
at all time periods.
the VPP is called upon to provide reserves. Both sources of
uncertainty are thus characterized by a cardinality-constrained Conservativeness parameters ΓR and ΓW thus model the
uncertainty set [30], [31]. For polyhedral uncertainty sets tradeoff between expected profit and uncertainty immunization
and so depend on the preferences of the operator of the VPP.
such as the cardinality-constrained uncertainty set under con-
sideration, the worst-case uncertainty realization corresponds A detailed discussion on how to select appropriate values for
such parameters is beyond the scope of this paper.
to an extreme or vertex of the polyhedron representing the
uncertainty set [17], [21]. Thus, polyhedral uncertainty sets
C. Stochastic Adaptive Robust Optimization Model
can be equivalently characterized by solely modeling the finite
set of extremes or vertexes of the polyhedron. As done in The proposed stochastic ARO model is formulated as an
[14], [16], [17], [19], [20], and [23], binary variables are instance of trilevel programming that involves three nested
used to model the extreme-based equivalent for the original optimization levels. The upper level determines the energy
cardinality-constrained uncertainty set. The resulting binary- and reserve market decisions, as well as the schedule of
variable-based equivalent set Λ is formulated as follows: the CPP, maximizing the worst-case expected profit of the
n VPP. Given the upper-level decision vector, the middle level
Λ = ΥML : uW+ t , uW−
t , ktR+ , ktR− ∈ {0, 1} , ∀t ∈ T (2a) identifies the worst-case realization of available wind power
generation levels and reserve deployment requests, i.e., that
ptW,A = P̃tW,A − uW−
t P̂tW,A + uW+
t P̂tW,A , ∀t ∈ T (2b) minimizing the expected profit of the VPP. Finally, the lower
uW+
t + uW−
≤ 1, ∀t ∈ T
t (2c) level models the VPP operation maximizing the expected profit
X
for given upper- and middle-level decisions. The proposed
uW+
t + uW−
t ≤ ΓW (2d)
trilevel counterpart is formulated as follows:
t∈T
ktR+
+ ktR− ≤ 1, ∀t ∈ T (2e) X Xh
maxΥUL λE E bR+ R+ + λ bR− pR−
X o πω tω pt ∆t + λtω pt tω t
ktR+ + ktR− ≤ ΓR (2f) ω∈Ω t∈T
t∈T
i
C C,SU C C,SD
− C C,F uC + SUC v + SDC v
t t t
where ΥML = ktR+ , ktR− , ptW,A , uW+
t , uW−
t ∀t∈T
is the X Xh
set of variables characterizing the uncertainty set. Binary + minΥML ∈Λ maxΥLL ∈Θ πω λR+ R+ R+
tω kt pt
variables uW+
t and uW−
t are associated with the worst-case ω∈Ω t∈T
i
available wind power generation, whereas ktR+ and ktR− can
be equivalently characterized as binary variables to model − λR− R− R−
tω kt pt − C C,V pC
t ∆t (3a)
1) Upper level: Maximize the worst-case expected profit of the VPP and determine the participation of the VPP in
the electricity markets as well as the statuses of the CPP
subject to compliance with operational constraints (1c)–(1h) for all possible realizations of uncertain
available wind power generation and reserve deployment requests
2) Middle level: Minimize the expected profit of the VPP and determine the worst-case realization of both
available wind power generation and reserve deployment requests for given upper-level decisions
subject to constraints (2) and the optimal reaction of the VPP against the realizations of
available wind power generation and reserve deployment requests
3) Lower level: Maximize the expected profit of the VPP and determine the operational decisions of the
VPP for given upper- and middle-level decisions
subject to operational constraints (4)
Fig. 1. Nested structure of the proposed model.
o
W,A
subject to: 0 ≤ pW
t ≤ pt , ∀t ∈ T . (4k)
Constraints (1c) − (1h). (3b) The feasibility set Θ is parameterized in terms of upper-level
C,SD
Problem (3) involves three optimization levels: decisions pE R+ R− C
t , pt , pt , ut , vt , and vtC,SU , and middle-
level optimization variables kt , kt , and ptW,A .
R+ R−
1) The upper level related to the decisions for the energy
Constraints (4) are identical to constraints (1b) and (1i)–(1r)
and reserve markets,
as well as to the schedule of the
R+ R− C C,SD C,SU in the deterministic problem (1).
CPP, i.e., ΥUL = pE t , p t , pt , ut , vt , vt .
∀t∈T Fig. 1 shows the nested structure of the proposed trilevel
2) The middle level associated with the worst-case realiza-
problem.
tion of reserve deployment requests and available wind
power generation levels, i.e., set ΥML . III. S OLUTION M ETHODOLOGY
3) The lower level modeling the reaction against upper-
and middle-level decisions, i.e., set ΥLL = pC D S,C The stochastic ARO problem (3) is solved using a CCGA
t , pt , pt ,
S,D W S [22], which involves the iterative solution of a master problem
pt , pt , st ∀t∈T .
and a subproblem. This method guarantees finite convergence
Problem (3) is driven by the maximization of the worst- to optimality and provides a measure of the distance to the
case expected profit (3a) subject to constraints (3b) modeling optimal solution along the iterative process.
the feasibility of upper-level decisions as described in Section
II-A. Note that Λ and Θ are the uncertainty and feasibility A. Master Problem
sets that are, respectively, related to the middle- and lower-
level optimization variables. Set Λ is explained in Section The master problem at iteration ν is formulated below:
II-B whereas set Θ models the feasible space of lower-level Xh
optimization variables as follows: X
maxΨM λE E bR+ R+ + λ
bR− pR−
n πω tω pt ∆t + λtω pt tω t
R+ R+
Θ = ΥLL : pE t + kt pt − ktR− pR−
t = pW D
t − pt + pt
C

ω∈Ω t∈T
i
C,F C C C,SU C C,SD
+ pS,D − pS,C − C ut + SUC vt + SDC vt +ϑ (5a)
t t , ∀t ∈ T (4a)
C
P C uC C
t ≤ pt ≤ ∈T P uC
t , ∀t (4b) subject to:

pt − pt−1 ≤ R ut−1 + RC,SU vtC,SU ∆t, ∀t ∈ T
C C C,U C
(4c) Constraints (3b) (5b)

X Xh
pC C
t−1 − pt ≤ R ut + RC,SD vtC,SD ∆t, ∀t ∈ T
C,D C
(4d) ϑ≤ πω λR+
′
R+(ν ) R+
pt − λR−
′
R−(ν ) R−
tω kt tω kt pt
D
PD D ω∈Ω t∈T
X
t ≤ pt ≤ P t , ∀t ∈T (4e) i
pD D − C C,V pC ′
tν ∆t , ν = 1, . . . , ν (5c)
t ∆t ≥ D (4f) ′
t∈T R+(ν ′ ) R+ R−(ν ′ ) R−

S,C pE
t + kt pt − kt pt = pW D
tν ′ − ptν ′ + pC
0≤ pS,C
t ≤P , ∀t ∈ T (4g) tν ′
S,D + pS,D S,C ′

tν ′ − ptν ′ , ∀t ∈ T , ν = 1, . . . , ν (5d)
0≤ pS,D
t≤ P , ∀t ∈ T (4h) C C
P C uC C ′
t ≤ ptν ′ ≤ P ut , ∀t ∈ T , ν = 1, . . . , ν (5e)
1
st = st−1 + η S,C pS,C
S S
− pS,D ∆t, ∀t ∈ T (4i) C,SU C,SU
t
η S,D t pC
tν ′ − pC
t−1ν ′ ≤ RC,U uC
t−1 + R vt ∆t,
S
S St ≤ sSt ≤ S t , ∀t ∈T (4j) ∀t ∈ T , ν ′ = 1, . . . , ν (5f)

pC C C,D C C,SD C,SD 1
t−1ν ′ − p tν ′ ≤ R u t + R vt ∆t, sSt = sSt−1 + η S,C pS,C
t − pS,D
S,D t
∆t : φt , ∀t ∈ T (6j)
′
η
∀t ∈ T , ν = 1, . . . , ν (5g) S
D S St ≤ sSt ≤ S t : ψ t , ψ t , ∀t ∈ T (6k)
PD ≤ pD
tν ′ ≤ P t , ∀t ∈ ′
T , ν = 1, . . . , ν (5h) W,A
t
X 0 ≤ pWt ≤ pt : τt , ∀t ∈T (6l)
D ′
pD
tν ′ ∆t ≥ D , ν = 1, . . . , ν (5i) + −
ht , ht ≥ 0, ∀t ∈ T (6m)
t∈T
S,C n o
0 ≤ pS,C , ∀t ∈ T , ν ′ = 1, . . . , ν where set ΥLL = ΥLL , { h+ −
′
tν ′ ≤ P (5j) t , ht }∀t∈T whereas lower-
S,D level dual variables are presented after a colon. The sub-
0 ≤ pS,D
tν ′ ≤ P , ∀t ∈ T , ν ′ = 1, . . . , ν (5k)
problem (6) corresponds to the two lowermost optimization
S,C S,C 1 S,D
sStν ′ S
= st−1ν ′ + η ptν ′ − S,D ptν ′ ∆t, levels of the original trilevel problem (3) parameterized in
η E(ν) R+(ν) R−(ν) C(ν) C,SD(ν) C,SU(ν)
terms of pt , pt , pt , ut , vt , and vt ,
∀t ∈ T , ν ′ = 1, . . . , ν (5l) which are provided by the preceding master problem (5). In
S
S St ≤ sStν ′
≤ S t , ∀t ∈ T ′
, ν = 1, . . . , ν (5m) order to guarantee the feasibility of the subproblem along the
W,A(ν ′ ) iterative process, power balance constraints (6b) are relaxed
0 ≤ pW
tν ′ ≤ pt , ∀t∈ T , ν ′ = 1, . . . , ν (5n) with nonnegative slack variables h+ −
t and ht (6m), which are
n S,C S,D penalized in the objective function (6a) using a sufficiently
where ΨM = ΥUL , ϑ, pC D W
tν ′ , ptν ′ , ptν ′ , ptν ′ , ptν ′ ,
o large positive cost coefficient N .
sStν ′ ∀t∈T ,ν ′ =1,...,ν . The subproblem (6) is a min-max bilevel model whose
The master problem (5) is a relaxed version of the original lower level is continuous and linear in its decision variables.
problem (3) wherein the auxiliary variable ϑ iteratively ap- Such a property allows using the duality theory of linear
proximates the worst-case value of the middle-level objective programming to convert the min-max subproblem (6) into a
function. Thus, as the number of iterations increases, so single-level equivalent. This conversion consists in replacing
W,A(ν ′ )
does the size of problem (5). Note that parameters pt , 1) the inner optimization in (6) with its dual constraints, and
′ ′
R+(ν ) R−(ν ) 2) the objective function in the outer optimization in (6) with
kt , and kt respectively denote the optimal values
for ptW,A , ktR+ , and ktR− yielded by the subproblem at iteration the dual lower-level objective function [32]. Note that this
ν′. transformation is customary in the related literature [14]–[20],
[29]. Therefore, problem (6) is transformed into the single-
B. Subproblem level equivalent below:
At each iteration ν, the subproblem determines the worst- X X
R+ R+(ν) R− R− R−(ν)
case available wind power generation levels and reserve de- minΨS πω λR+
tω tk p t − λ k
tω t p t ∆t
ployment requests that minimize the expected profit for a given Xω∈Ω
t∈T
upper-level decision vector provided by the previous master E(ν) R+(ν) R−(ν)
− αt pt + ktR+ pt − ktR− pt − τt ptW,A
problem. The subproblem at iteration ν is cast as follows: t∈T
X Xh C(ν) C C(ν) D S,C
minΥML ∈Λ maxΥLL πω λR+ R+ R+(ν) + ρt P C u t − ρt P ut + γtP D
t − γ t P t − δt P
′
tω kt pt
S,D C(ν) C,SD(ν)
ω∈Ω t∈T
− κt P − σ t RC,D ut + RC,SD vt ∆t + ψ t S St
i
− λR− R− R−(ν)
tω kt pt − C C,V pC
t − N h+ −
t + ht ∆t (6a) S X C(ν) C,SU(ν)

− ψt S t − σ t RC,U ut−1 + RC,SU vt ∆t
subject to: t∈T \t=1

C,SU(ν)
pt
E(ν)
+ ktR+ pt
R+(ν)
− ktR− pt
R−(ν)
= pW D C
t − pt + pt
− σ 1 RC,U U0C + RC,SU v1 ∆t + ξDD + S0S φ1
+ pS,D
t − pS,C
t + h+ −
t − ht : αt , ∀t ∈ T (6b) (7a)
C(ν) C C(ν)
P C ut ≤ pC
t ≤ P ut : ρt , ρt , ∀t ∈ T (6c) subject to:

C(ν) C,SU(ν)
pC C
t − pt−1 ≤ R
C,U
ut−1 + RC,SU vt ∆t : σ t , Constraints (2) (7b)
C,V
∀t ∈ T (6d) αt + ρt − ρt − σ t + σ t + σ t+1 − σ t+1 = C ,

C(ν) C,SD(ν) t = 1, . . . , |T | − 1 (7c)
pC C
t−1 − pt ≤ R
C,D
ut + RC,SD vt ∆t : σ t ,
C,V
α|T | + ρ|T | − ρ|T | − σ |T | + σ |T | = C (7d)
∀t ∈ T (6e)
D − αt + γ t − γ t + ∆tξ = 0, ∀t ∈ T (7e)
PD D
t ≤ pt ≤ P t : γ t , γ t , ∀t ∈ T (6f)
X αt ≤ N, ∀t ∈ T (7f)
D
pD
t ∆t ≥ D : ξ (6g)
t∈T
− αt ≤ N, ∀t ∈ T (7g)
0 ≤ pS,C ≤P
S,C
: δt , ∀t ∈ T (6h) αt − τt ≤ 0, ∀t ∈ T (7h)
t
S,D 1
0 ≤ pS,D ≤P : κt , ∀t ∈ T (6i) αt − κt + S,D φt ∆t ≤ 0, ∀t ∈ T (7i)
t η
− αt − δt − η S,C φt ∆t ≤ 0, ∀t ∈ T (7j)
100
wind power [MW]

φt + ψ t − ψ t − φt+1 = 0, t = 1, . . . , |T | − 1 (7k)
Available
φ|T | + ψ |T | − ψ |T | = 0 (7l) 50
γ t , γ t , δt , κt , ρt , ρt , σ t , σ t , τt , ψ t , ψ t ≥ 0, ∀t ∈ T (7m) 0
0 5 10 15 20 25
ξ≥0 (7n) Time period [h]
n Upper bound Average level Lower bound
where set ΨS = ktR+ , ktR− , ptW,A , uW+ t , uW−
t , αt , γ t , γ t ,
o Fig. 2. Confidence bounds and average levels for available wind power
δt , κt , ρt , ρt , σ t , σ t , τt , φt , ψ t , ψ t }∀t∈T , ξ . generation.
The dual lower-level objective function is minimized in
(7a). Constraints (7b) are associated with the uncertainty set,
Demand [MW]
while constraints (7c)–(7n) are the lower-level dual feasibility 80
R+(ν) R−(ν)
, and τt ptW,A
60
constraints. In (7a), αt ktR+ pt , αt ktR− pt
40
are nonlinear terms in the form of products of a lower-level 20
dual (continuous) variable and a middle-level variable. Nev- 0
0 5 10 15 20 25
ertheless, such bilinear terms can be replaced with equivalent Time period [h]
mixed-integer linear expressions using the exact linearization Upper limit Lower limit
scheme explained in [33] and in the Appendix. The use of
mixed-integer linear programming is advantageous due to the Fig. 3. Consumption limits for the flexible demand.
guaranteed finite convergence to optimality and the availability
of efficient off-the-shelf software based on the branch-and-cut
IV. C ASE S TUDY
algorithm.
This section numerically demonstrates the performance of
C. Algorithm the proposed approach.
The iterative master-subproblem algorithm comprises the
following steps: A. Data
1) Set the lower and upper bounds, LB and UB, for For expository purposes, hourly time periods are considered,
the optimal worst-case expected profit to −∞ and ∞, i.e., ∆t = 1 h and |T | = 24. As done in [9], market price
respectively, and select the convergence tolerance, ǫ. scenarios are generated using data from the electricity market
2) Initialize the iteration counter ν ← 0. of Spain for the labor days from May 1st to June 17th, 2015
3) Solve the master problem (5). Note that, if ν = 0, then [34]. Therefore, uncertain market prices are represented by 34
constraints (5c)–(5n) are not included. equiprobable scenarios. Fig. 2 provides the confidence bounds
4) Update the upper bound, UB, using the optimal value and average levels for available wind power generation. Con-
of the objective function (5a) of the master problem (5), fidence bounds are obtained from [8]. For each time period,
z M∗ , i.e., UB = z M∗ . the average level for the available wind power generation is
E(ν)
5) Using the results obtained in Step 3), set pt = pE∗
t , computed as the mean value of the corresponding upper and
R+(ν) R+∗ R−(ν) R−∗ C(ν) C∗
pt = pt , pt = pt , u t = ut , lower confidence bounds. The minimum power output and the
C,SD(ν) C,SU(ν)
vt = vtC,SD∗ , and vt = vtC,SU∗ , and solve capacity of the CPP, which is initially scheduled off, are 20 and
the linear equivalent of the subproblem (7). 80 MW, respectively, whereas ramp rates are all equal to 50
6) Update the lower bound, LB, using equation (8) below: MW/h. The fixed and variable cost coefficients of the CPP are
X Xh $50 and $40/MWh, respectively, whereas the start-up and shut-
E(ν)
LB = max LB, πω λEtω pt ∆t down cost rates are both equal to $100. The lower and upper
ω∈Ω t∈T bounds for the level of stored energy of the storage unit are 0

+ bR+ pR+(ν)
λ + − C C,F ut
λ
C(ν)
bR− pR−(ν) and 100 MWh across the time span except for the last period.
tω t tω t
For t = |T |, the upper bound remains unchanged whereas
i
C,SU(ν)
+ SUCC vt
C,SD(ν)
+ SDCC vt + z S∗ (8) the lower bound is set equal to the initial level, namely 50
MWh. Furthermore, the maximum charging and discharging
where z S∗ is the optimal value of the objective function power levels of the storage unit are both 50 MW, whereas
(7a) of the subproblem (7). the charging and discharging efficiencies are both equal to
90%. The minimum daily energy consumption of the flexible
7) If |UB−LB|
|UB| ≤ ǫ, the algorithm stops and the solution
R+∗ C,SD∗ demand is 700 MWh and the hourly consumption limits are
to problem (3) is pE∗t , pt , pR−∗
t , uC∗
t , vt , and depicted in Fig. 3. The power levels that can be traded in the
C,SU∗
vt . Otherwise, go to Step 8). energy market are between –110 MW and 110 MW, whereas a
8) Update the iteration counter ν ← ν + 1. 70-MW limit is considered for the participation in each reserve
W,A(ν)
9) Using the results obtained in Step 5), set pt = market. The penalty cost coefficient is set to $103/MWh. Note
W,A∗ R+(ν) R+∗ R−(ν) R−∗
pt , kt = kt , and kt = kt , ∀t ∈ T . that the results reported hereinafter remain unaltered for larger
10) Go to Step 3). values of this coefficient.
120
100 60
pR− [MW]
pE [MW]
80
40
60
40 20
20 0
0 5 10 15 20 25 0 5 10 15 20 25
Time period [h] Time period [h]
R R R R R R R R
Γ =3 Γ =9 Γ =15 Γ =21 Γ =3 Γ =9 Γ =15 Γ =21
Fig. 4. Participation in the energy market. Fig. 6. Participation in the down-reserve market.
60 for ΓR = 3, the scheduled power is at its maximum level

[MW]
40 for around half of the time periods. In contrast, for ΓR =

21, the scheduled participation is 0 for roughly half of the
R+
20
p
0 time periods. However, a general pattern cannot be inferred

0 5 10 15
Time period [h]
20 25 as, for intermediate values of ΓR , the scheduled participation
R
Γ =3
R
Γ =9
R
Γ =15
R
Γ =21
increases as this parameter grows.
Finally, Fig. 6 plots the scheduled participation in the down-
Fig. 5. Participation in the up-reserve market. reserve market. As can be observed, for ΓR = 3, the scheduled
participation is at its maximum level, i.e., 70 MW, at most
time periods, whereas, for ΓR = 21, the scheduled power
B. Results is different from the maximum tradable amount at six time
For illustration purposes, the results reported in this section periods. Note also that the minimum participation is featured
correspond to a set of representative instances for which for ΓR = 15 at period 11. Thus, the impact of ΓR on the
the wind uncertainty budget, ΓW , is set to 12, whereas the scheduled participation is case dependent.
uncertainty budget associated with the requests for reserve
deployment, i.e., ΓR , ranges between 0 and |T |. Thus, the C. Out-of-Sample Assessment
robustness of the model is analyzed for different values of the In order to validate the performance of the proposed ap-
uncertainty budget ΓR while assuming that the available wind proach, an out-of-sample assessment is carried out following
power generation can take values different from the average at the steps below:
12 time periods. The proposed approach has been implemented 1) Using the data reported in Section IV-A, we generate
using CPLEX [35] under GAMS [36] on an Intel R
Xeon R
10000 samples for market prices, available wind power
E7-4820 computer with 4 processors at 2 GHz and 128 generation, and up- and down-reserve request coeffi-
GB of RAM. The convergence tolerance, ǫ, as well as the cients.
optimality tolerances of CPLEX for both the master problem 2) For each sample o and for a given upper-level decision
and the subproblem are set to 1% in all simulations. Using this vector provided by the proposed model (3),
stopping criterion, the average running time is 56.3 min, which n o namely
R+∗ R−∗ C,SD∗ C,SU∗
pE∗
t , p t , p t , u C∗
t , vt , vt ∀t∈T , we
is acceptable for the practical computational requirements of
the day-ahead self-scheduling problem of a VPP. Moreover, solve the following problem:
the proposed model overcomes the computational issues of our X E(o)
R+(o)
previous work [11]. For all instances of this case study, the maxΨO µt pE∗ t ∆t + µ bt
t∈T
application of the KKT-based CCGA failed to solve a single
R+(o) R+(o) R−(o)
subproblem after 24 hours, which is unacceptable for a day- + Kt µt ∆tpR+∗
t + µbt
ahead setting.
R−(o) R−(o)
Fig. 4 shows the power scheduled by the VPP in the energy − Kt µt ∆t pR−∗
t − C C,F uC∗
t

market for several values of ΓR . As can be observed, for all C C,SU∗
+ C C,V pC
to ∆t + SUC vt + SDCC vtC,SD∗
instances, the participation in this market follows the profile
of confidence bounds for available wind power generation. At + −

− N hto + hto ∆t (9a)
the beginning of the scheduling horizon, the available wind
power generation is higher and the demand is lower. Therefore,
subject to:
more power is scheduled to be sold in the energy market in
order to maximize the worst-case expected profit since the cost R+(o) R+∗ R−(o) R−∗
pE∗
t + Kt pt − Kt pt = pW
to − pD
to
of wind power production is null. In contrast, at the end of S,D S,C + −
+ pC
to + p to − p to + h to − h to , ∀t ∈ T (9b)
the scheduling horizon, the available wind power generation
C C∗ C C C∗
drops. Consequently, less power is scheduled to be sold in the P ut ≤ pto ≤ P ut , ∀t ∈ T (9c)
energy market.
pC
to − pC
t−1o ≤ RC,U uC∗
t−1 + RC,SU vtC,SU∗ ∆t,
Fig. 5 depicts the scheduled participation in the up-reserve
market for the same values of ΓR shown in Fig. 4. Note that, ∀t ∈ T (9d)

C,SD C,SD∗
pC
t−1o − p C
to ≤ R C,D C∗
u t + R vt ∆t, TABLE I
R ESULTS FROM THE O UT- OF -S AMPLE A SSESSMENT FOR THE P ROPOSED
∀t ∈ T (9e) M ODEL U SING A N ORMAL D ISTRIBUTION
D
PD
t ≤ pD
to ≤ P t , ∀t ∈T (9f) ΓR Πav [$] H av [MW] ΓR Πav [$] H av [MW]
X
D
pD
to ∆t ≥D (9g) 3 122,261 7.238 15 106,695 2.415
t∈T 6 113,786 3.234 18 106,251 2.408
S,C 9 110,650 2.618 21 105,947 2.387
0 ≤ pS,C
to ≤ P , ∀t ∈ T (9h)
12 106,808 2.422 24 105,630 2.051
S,D S,D
0 ≤ pto ≤P , ∀t ∈ T (9i)

1
sSto = sSt−1o + η S,C pS,C
to − pS,D
to ∆t, ∀t ∈ T TABLE II
η S,D R ESULTS FROM THE O UT- OF -S AMPLE A SSESSMENT FOR THE F ULLY
S TOCHASTIC M ODEL U SING A N ORMAL D ISTRIBUTION
(9j)
S
S St ≤ sSto ≤ S t , ∀t ∈ T (9k) Number of
W,A(o) scenarios for Πav [$] H av [MW]
0 ≤ pW to ≤ Pt , ∀t ∈T (9l) KtR+ , KtR− , PtW,A
+ −
hto , hto ≥ 0, ∀t ∈ T (9m) 10 133,214 46.886
n 50 124,822 11.011
S,C S,D
where set ΨO = h+ − C D W
to , hto , pto , pto , pto , pto , pto , 100 123,451 7.084
o
sSto ∀t∈T whereas superscript “(o)” denotes the values 150 123,107 6.083
200 122,817 5.229
of market prices, available wind power generation, and
up- and down-reserve request coefficients for sample o.
Problem (9) is a modified version of the deterministic
problem (1) in which the variables related to the deci- values of ΓR correspond to a more conservative strategy with
sions for the energy and reserve markets, as well as to lower values of both metrics. It is worth emphasizing that
the schedule of the CPP are fixed. The infeasibility of power imbalance solely arises for those samples lying beyond
the sample is modeled by nonnegative slack variables the pre-specified uncertainty set.
h+ −
to and hto , which are included in the power balance
The same out-of-sample assessment is implemented for
constraints (9b) and penalized in the objective function the solution provided by a stochastic model based on [9],
(9a). The penalty cost coefficient N is set to $103 /MWh. where all uncertainty sources are characterized by scenarios.
Such a choice is suitable to correctly flag infeasibility As done in [9], 34 scenarios for market prices have been
as the values of the objective function for infeasible considered. In addition, the number of scenarios for available
solutions differ by several orders of magnitude from wind power generation and reserve deployment requests has
those associated with feasible solutions. been increased from 10, as originally done in [9], to 200.
3) Finally, we compute the average sampled profit, Πav , Further increasing the scenario set would lead to a stochastic
and the average sampled imbalance, H av , as follows: model requiring solution times over an hour, which is the
practical time limit for the day-ahead self-scheduling problem
1 X X E(o) E∗ R+(o)
Πav = µt pt ∆t + µ bt under consideration. The results shown in Table II corroborate
10000 the advantages from using ARO for such uncertainty sources.
o∈O t∈T
Note that the average sampled profits associated with the
R+(o) R+(o) R−(o)
+ Kt µt ∆t pR+∗ t + bt
µ
fully stochastic formulation are higher than those provided
R−(o) R−(o) in Table I for the proposed model (3). Nevertheless, this
− Kt µt ∆t ) pR−∗
t − C C,F uC∗ t
economic gain comes at the expense of significantly larger
+ C C,V pC∗ ∆t + SUC C C,SU∗
v + SDC C C,SD∗
v and thus unacceptable infeasibility levels. As can be observed,
to t t
the lowest level of average sampled infeasibility attained for
(10a) 200 scenarios is still twice as much as those featured by most
instances of the proposed stochastic ARO approach.
1 X X +∗ Furthermore, we have compared the out-of-sample results
H av = hto + h−∗
to ∆t (10b)
10000 for the proposed model and the fully stochastic model with
o∈O t∈T
those associated with the deterministic model (1). In such
where h+∗ −∗ C∗
to , hto , and pto respectively denote the opti- a model, market prices and available wind power generation
+ −
mal values of hto , hto , and pC
to resulting from (9). levels are set equal to the mean values over the respective sets
Table I lists the results from the out-of-sample assessment of scenarios considered in the other models. As for reserve
for different values of the uncertainty budget ΓR . Samples are deployment requests, three instances are analyzed: 1) the
generated using a normal probability distribution with an 85% VPP is not requested to provide either upward or downward
confidence level. As observed in Table I, both the average reserves, i.e., KtR+ = KtR− = 0, ∀t ∈ T , 2) the VPP is
sampled profit and the average sampled power imbalance requested to provide all scheduled upward reserve capacity at
decrease as the uncertainty budget ΓR increases. Hence, high all periods, i.e., KtR+ = 1 and KtR− = 0, ∀t ∈ T , and 3) the
TABLE III 100

R ESULTS FROM THE O UT- OF -S AMPLE A SSESSMENT FOR THE
Demand [MW]
D ETERMINISTIC M ODEL U SING A N ORMAL D ISTRIBUTION
50
Instance Πav [$] H av [MW]
KtR+ = KtR− = 0, ∀t ∈T 207,783 1669.248
KtR+ = 1 and KtR− = 0, ∀t ∈ T 207,783 1669.248 0
0 5 10 15 20 25
KtR+ = 0 and KtR− = 1, ∀t ∈ T 196,908 2015.981 Time period [h]
Upper limit Inflexible demand Lower limit
TABLE IV Fig. 7. Inflexible demand and consumption limits for the original flexible
R ESULTS FROM THE O UT- OF -S AMPLE A SSESSMENT FOR THE P ROPOSED demand.
M ODEL U SING A U NIFORM D ISTRIBUTION
ΓR Πav [$] H av [MW] ΓR Πav [$] H av [MW] TABLE VI

R ESULTS FROM THE O UT- OF -S AMPLE A SSESSMENT FOR THE P ROPOSED
3 123,966 0.390 15 106,913 0.036 M ODEL U SING A N ORMAL D ISTRIBUTION AND AN I NFLEXIBLE D EMAND
6 114,746 0.098 18 106,407 0.036
9 111,298 0.039 21 106,121 0.013 ΓR Πav [$] H av [MW] ΓR Πav [$] H av [MW]
12 107,062 0.037 24 105,755 0.011 3 118,236 7.855 15 103,773 2.824
6 110,736 4.174 18 103,005 2.790
9 106,646 2.952 21 102,757 2.720
TABLE V
R ESULTS FROM THE O UT- OF -S AMPLE A SSESSMENT FOR THE F ULLY 12 104,664 2.841 24 102,575 2.615
S TOCHASTIC M ODEL U SING A U NIFORM D ISTRIBUTION
Number of
with the original flexible demand, the inflexible demand has
scenarios for Πav [$] H av [MW]
been selected following the two criteria below:
KtR+ , KtR− , PtW,A
1) As shown in Fig. 7, for each period of the scheduling
10 133,501 25.601
horizon, the consumption of the inflexible demand, pD t ,
50 125,674 4.313
is within the consumption limits of the original flexible
100 124,410 2.301
demand.
150 124,068 1.663
2) The energy consumption of P the inflexible demand over
200 123,834 1.516
the scheduling horizon, i.e., t∈T pD t ∆t is set equal to
700 MWh, i.e., the minimum daily energy consumption
of the original flexible demand.
VPP is requested to provide all scheduled downward reserve
capacity at all periods, i.e., KtR+ = 0 and KtR− = 1, ∀t ∈ T . The proposed approach has been run for the values of ΓR
The out-of-sample results are summarized in Table III. As and ΓW and the stopping criterion adopted for the original
can be observed, disregarding uncertainty yields significantly flexible demand. As expected, for all instances, the use of the
higher average sampled profits at the expense of impractical above described inflexible demand led to lower values of the
increases in the average sampled infeasibility levels by up to upper-level objective function maximized in (3a). This result
three orders of magnitude over those featured by the fully primarily stems from the overall reduction in the participation
stochastic and stochastic ARO solutions. in the up-reserve market.
Finally, in order to illustrate the impact of the probability For the solutions attained under the inflexible demand, Table
distribution used to generate the pool of samples, we have VI summarizes the results from the out-of-sample assessment
implemented an additional out-of-sample analysis in which using a normal distribution. The comparison of the results
the samples for available wind power generation levels and provided in Table VI with those reported in Table I shows
reserve deployment requests have been generated using a that, for all values of ΓR , the consideration of the inflexible
uniform distribution. The results provided in Tables IV and demand yields lower average sampled profits, Πav , and higher
V show that the proposed stochastic ARO model substantially average sampled imbalances, H av . Such results corroborate
outperforms the fully stochastic model in terms of average the beneficial impact of demand flexibility on the operation of
sampled infeasibility. These results corroborate the superiority the VPP.
of the proposed model regardless of the probability distribution
V. C ONCLUSION
used in the out-of-sample assessment.
A stochastic ARO approach for the self scheduling of a VPP
in energy and reserve electricity markets is proposed in this
D. Impact of Demand Flexibility paper. Relevant conclusions from this work are:
The impact of demand flexibility on the VPP trading has 1) The uncertainties in market prices, available wind power
been analyzed by considering an inflexible demand featuring generation, and requests for reserve deployment are key
identical minimum and maximum power consumption levels factors in the decision-making problem faced by a VPP
D
in every period, i.e., P D
t = P t , ∀t ∈ T . For expository trading in energy and reserve electricity markets. The
purposes and a fair comparison with the results associated proposed combination of stochastic programming and
ARO is an appropriate method because each uncertainty equal to 1, z is set equal to β and is bounded by the upper
source is modeled with the technique that best adapts and lower limits for β.
to its particular characteristics. Furthermore, the use of Using such integer algebra results, the linearized subprob-
ARO to model the uncertainty in the requests for reserve lem is formulated as follows:
deployment is a distinctive feature of this work. X X
R+ R+(ν) R− R− R−(ν)
2) The uncertainty budgets used in this model provide a minΨLS πω λR+ k
tω t p t − λ k
tω t p t ∆t
flexible control of the robustness of the approach. Low Xω∈Ω
t∈T

values of the uncertainty budgets yield less conservative E(ν) R+(ν) R−(ν)
− αt pt + ztkR+ pt − ztkR− pt − τt P̃tW,A
solutions while high values give rise to more robust t∈T
solutions. C C(ν)
C(ν)
3) In terms of sampled infeasibility, the solutions achieved − ztW− P̂tW,A + ztW+ P̂tW,A + ρt P C u t
− ρt P u t
D S,C S,D

by the model presented in this paper significantly out- + γtP D
C(ν)
− σ t RC,D ut
t − γ t P t − δt P − κt P
perform those provided by both a fully stochastic model
S
and a deterministic model. + RC,SD vt
C,SD(ν)
∆t + ψ t S St − ψ t S t
4) Demand flexibility is useful to leverage the arbitrage
opportunities arising from the participation in different X
C,U C(ν) C,SU C,SU(ν)
markets. − σ t R ut−1 + R vt ∆t
t∈T \t=1
Although a simple demand-side model has been presented
in this paper, it should be noted that the main steps used C,U C C,SU C,SU(ν) D S
− σ 1 R U0 + R v1 ∆t + ξD + S0 φ1
in the proposed solution approach are readily applicable to
incorporate other aspects of electricity consumption with ad- (11a)
ditional operational constraints as well as some extra notation subject to:
to properly index variables and parameters. We recognize that
Constraints (7b) − (7n) (11b)
the extended model needs further numerical studies.
Future research will address the consideration of a more ztkR+ = αt ktR+ , ∀t ∈ T (11c)
sophisticated demand-side model as well as additional com- αmin
t ktR+ ≤ ztkR+ ≤ αmaxt ktR+ , ∀t ∈ T (11d)
ponents in the VPP, e.g., a fleet of electric vehicles and other αmin (1 − ktR+ ) ≤ αt − ztkR+ ≤ αmax (1 − ktR+ ), ∀t ∈T
t t
forms of renewable-based generation. Larger VPPs will also (11e)
be considered, including the characterization of the temporal
and spatial correlations of renewable-based power generation. ztkR− = αt ktR− , ∀t ∈ T (11f)
To that end, the use of ellipsoidal uncertainty sets constitutes αmin
t ktR− ≤ ztkR− ≤ αmax
t ktR− , ∀t ∈ T (11g)
a promising strategy which would require the development αmin (1 − ktR− ) ≤ αt − ztkR− ≤ αmax (1 − ktR− ), ∀t ∈ T
t t
of a new solution approach to efficiently address the resulting (11h)
computationally challenging problem. Furthermore, the partic-
ipation of the VPP in other electricity markets with different ztW− = τt uW−
t , ∀t ∈ T (11i)
time frames as well as the correlation of market prices will τtmin uW−
t ≤ ztW− ≤ τtmax uW−
t , ∀t ∈ T (11j)
also be examined. min W−
τt (1 − ut ) ≤ τt − zt W−
≤ τtmax (1 − uW− ), ∀t ∈T
t
(11k)
A PPENDIX ztW+ = τt uW+ , ∀t ∈ T (11l)
t
L INEARIZATION OF THE B ILINEAR T ERMS OF THE
τtmin uW+
t ≤ ztW+ ≤ τtmax uW+
t , ∀t ∈ T (11m)
S UBPROBLEM
W+ W+
τt (1 − ut ) ≤ τt − zt ≤ τtmax (1
min
∈T − uW+
t ), ∀t
This appendix presents the linearized version of the sub-
(11n)
problem (7). The objective function (7a) comprises nonlinear n o
R+(ν) R−(ν)
terms αt ktR+ pt , αt ktR− pt , and τt ptW,A . The first two where set ΨLS = ΨS , { ztkR+ , ztkR− , ztW− , ztW+ }∀t∈T .
terms involve products of a lower-level dual variable and The objective function minimized in (11a) is the linearized
a middle-level binary variable. As per (2b), the latter term version of that minimized in (7a), expression (11b) includes
τt ptW,A is equal to τt P̃tW,A − τt uW− t P̂tW,A + τt uW+t P̂tW,A , constraints (7b)–(7n), and expressions (11c)–(11n) model the
W− W,A
thereby giving rise to additional bilinear terms τt ut P̂t linearization of the nonlinear terms. More specifically, the
and τt uW+
t P̂tW,A , also involving products of a lower-level dual linearizations of αt ktR+ , αt ktR− , τt uW− , and τt uW+ are
t t
variable and a middle-level binary variable. modeled in (11c)–(11e), (11f)–(11h), (11i)–(11k), and (11l)–
As explained in [33], a linear equivalent for the product (11n), respectively.
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Power Systems. New York, NY, USA: Wiley, 2002.

Day-Ahead Self Scheduling of A Virtual Power Plant in Energy and Reserve Electricity Markets Under Uncertainty

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IEEE TRANSACTIONS ON POWER SYSTEMS 1

Day-Ahead Self Scheduling of a Virtual Power

IEEE TRANSACTIONS ON POWER SYSTEMS 2

∆t Duration of time periods [h]. large-scale penetration of renewable-based power production

N OWADAYS, environmental concerns have boosted the

IEEE TRANSACTIONS ON POWER SYSTEMS 3

IEEE TRANSACTIONS ON POWER SYSTEMS 4

IEEE TRANSACTIONS ON POWER SYSTEMS 5

IEEE TRANSACTIONS ON POWER SYSTEMS 6

Fig. 1. Nested structure of the proposed model.

t∈T R+(ν ′ ) R+ R−(ν ′ ) R−

S,D + pS,D S,C ′

IEEE TRANSACTIONS ON POWER SYSTEMS 7

IEEE TRANSACTIONS ON POWER SYSTEMS 8

wind power [MW]

IEEE TRANSACTIONS ON POWER SYSTEMS 9

60 for ΓR = 3, the scheduled power is at its maximum level

40 for around half of the time periods. In contrast, for ΓR =

0 time periods. However, a general pattern cannot be inferred

IEEE TRANSACTIONS ON POWER SYSTEMS 10

IEEE TRANSACTIONS ON POWER SYSTEMS 11

TABLE III 100

ΓR Πav [$] H av [MW] ΓR Πav [$] H av [MW] TABLE VI

IEEE TRANSACTIONS ON POWER SYSTEMS 12

IEEE TRANSACTIONS ON POWER SYSTEMS 13

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