Leveraging P90 Requirement: Flexible Resources Bidding in Nordic Ancillary Service Markets

TL;DR

This paper introduces a distributionally robust optimization model for flexible resource bidding in Nordic ancillary markets, focusing on the P90 requirement to balance reserve capacity and reliability.

Contribution

It develops a novel joint chance-constrained model that accounts for distributional uncertainty, enhancing bidding strategies for aggregators of stochastic resources.

Findings

Distributional robustness improves bidding decisions under uncertainty.

The heuristic helps system operators optimize reserve procurement.

Case study with electric vehicles demonstrates practical benefits.

Abstract

The P90 requirement of the Danish transmission system operator, Energinet, incentivizes flexible resources with stochastic power consumption/production baseline to bid in Nordic ancillary service markets with the minimum reliability of 90%, i.e., letting them cause reserve shortfall with the probability of up to 10%. Leveraging this requirement, we develop a distributionally robust joint chance-constrained optimization model for aggregators of flexible resources to optimize their volume of reserve capacity to be offered. Having an aggregator of electric vehicles as a case study, we show how distributional robustness is key for the aggregator when making bidding decisions in a non-stationary uncertain environment. We also develop a heuristic based on a grid search for the system operator to adjust the P90 requirement and the level of conservativeness, aiming to procure the maximum reserve capacity from stochastic resources with least expected shortfall.