Recourse-based BCD Robust Integrated Bidding Strategy for Multi-energy Systems under Uncertainties of Load and Energy Prices

Mehrdad Aghamohamadi, Amin Mahmoudi, John K. Ward, Megan Sleep, Mohammed H. Haque

Research output: Chapter in Book/Report/Conference proceedingConference contributionpeer-review

Abstract

This study proposes a recourse-based robust integrated bidding strategy for multi-energy systems under uncertainties of load and energy prices. A tri-level min-max-min robust problem is developed which is solved through a column-and-constraint (C C) generation technique to recast the min-max-min problem into a min master problem and a max-min sub-problem. Unlike previous conventional dual-based robust models which solved the max-min sub-problem by duality theory, this study employs block-coordinate decent (BCD) technique to solve it, using first-order Taylor series approximation of the sub-problem. The benefit of such approach is that the bidding binary variables can be obtained in the sub-problem as recourse decisions after uncertainty realizations which results in considerably more practical and realistic bidding solutions. This was not applicable in previous dual-based robust models due to the lack of tractability of a dualized mixed-integer model. Another advantage is that the linearization of the dualized inner problem is avoided as Lagrange multipliers are eliminated in this study which results in a more moderate computational time. In addition, it is possible to consider different buying/selling bids for the model as bidding binary variables are modeled in the sub-problem. A comprehensive case study as well as a post-event analysis are developed for an energy hub to illustrate the optimal bidding decisions and compare the effectiveness of the proposed model with conventional dual-based models.

Original languageEnglish
Title of host publication2021 IEEE Energy Conversion Congress and Exposition, ECCE 2021 - Proceedings
PublisherInstitute of Electrical and Electronics Engineers Inc.
Pages739-744
Number of pages6
ISBN (Electronic)9781728151359
DOIs
Publication statusPublished - Oct 2021
Event13th IEEE Energy Conversion Congress and Exposition, ECCE 2021 - Virtual, Online, Canada
Duration: 10 Oct 202114 Oct 2021

Publication series

Name2021 IEEE Energy Conversion Congress and Exposition, ECCE 2021 - Proceedings

Conference

Conference13th IEEE Energy Conversion Congress and Exposition, ECCE 2021
Country/TerritoryCanada
CityVirtual, Online
Period10/10/2114/10/21

Keywords

  • bidding strategy
  • block coordinate decent method
  • energy hub system
  • linear programing
  • robust optimization
  • uncertainty

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