Optimal offering strategy for an aggregator across multiple products of European day-ahead market

TL;DR

This paper develops a tractable optimal offering strategy for aggregators in the European day-ahead market, considering complex order types like block orders, and demonstrates improved computational efficiency and profitability potential.

Contribution

It introduces a novel mixed-integer bi-linear programming formulation for optimal bidding with block orders in the European DAM, enhancing tractability and performance.

Findings

Proposed model outperforms brute force in computation speed.

Block orders can increase aggregator profitability.

Validated with a flexible prosumer cluster model.

Abstract

Most literature surrounding optimal bidding strategies for aggregators in European day-ahead market (DAM) considers only hourly orders. While other order types (e.g., block orders) may better represent the temporal characteristics of certain sources of flexibility (e.g., behind-the-meter flexibility), the increased combinations from these orders make it hard to develop a tractable optimization formulation. Thus, our aim in this paper is to develop a tractable optimal offering strategy for flexibility aggregators in the European DAM (a.k.a. Elspot) considering these orders. Towards this, we employ a price-based mechanism of procuring flexibility and place hourly and regular block orders in the market. We develop two mixed-integer bi-linear programs: 1) a brute force formulation for validation and 2) a novel formulation based on logical constraints. To evaluate the performance of these formulations, we proposed a generic flexibility model for an aggregated cluster of prosumers that considers the prosumers' responsiveness, inter-temporal dependencies, and seasonal and diurnal variations. The simulation results show that the proposed model significantly outperforms the brute force model in terms of computation speed. Also, we observed that using block orders has potential for profitability of an aggregator.