Optimal participation of RES aggregators in electricity markets under main imbalance pricing schemes: Price taker and price maker approach

This paper presents a holistic approach to derive the optimal offering strategy of a RES aggregator in the day ahead market, considering the aggregator's potential to affect market prices (price-taker vs price-maker). The day-ahead and the balancing market functions are analytically modeled and fundamental imbalance settlement mechanisms are examined, namely Single Pricing and Dual Pricing. Several sources of uncertainty are considered affecting the day-ahead market prices, the imbalance prices and the actual production of the RES aggregator. To cope with these uncertainties, a stochastic risk-constrained optimization model is formulated for the RES aggregator's optimal bidding. For the case of a price-maker aggregator, an iterative algorithm is proposed executing sequentially the market functions and the aggregator's optimal strategy model. A realistic application in the Greek power system allows for examining the motivations for strategic bidding and accurate forecasting provided to the RES aggregator in each imbalance pricing scheme. Reinforcement Learning is applied in the case of high-size RES aggregators under Single Pricing and valuable insights are provided on the convergence of the proposed algorithm.