Distributionally Robust Chance-Constrained Bidding Strategy for Distribution System Aggregator in Day-Ahead Markets

Abstract

We propose a new approach for the optimal dayahead (DA) market bidding strategy of an aggregator of a power distribution system (with wind and solar generation). The proposed approach incorporates the stochasticity of renewable generation through a distributionally-robust chance-constraint (DRCC), which guarantees that the real-time (RT) energy shortfall (resulting from the DA market commitment and unexpected realization of renewable generation) does not exceed a pre-determined threshold with high probability, even without accurate information about the probability distribution of the random renewable generation. The formulated cost-minimization problem with DRCC is transformed into a deterministic, convex optimization problem. Numerical results demonstrate that the proposed approach enables the aggregator to efficiently trade-off profitability and risk, and that a properly chosen risk tolerance level (in the DRCC) can significantly reduce the average cost at DA market by 6–18.6% (compared with the robust solution), at the cost of negligible probability that the RT energy shortfall exceeds the pre-determined threshold.