IDEAS home Printed from https://ideas.repec.org/a/gam/jsusta/v18y2026i2p1122-d1846113.html

A Conditional Value-at-Risk-Based Bidding Strategy for PVSS Participation in Energy and Frequency Regulation Ancillary Markets

Author

Listed:
  • Xiaoming Wang

    (Anhui Province Key Laboratory of Renewable Energy Utilization and Energy Saving, Hefei University of Technology, Hefei 230009, China
    State Grid Anhui Electric Power Research Institute, Hefei 230061, China)

  • Kesong Lei

    (Anhui Province Key Laboratory of Renewable Energy Utilization and Energy Saving, Hefei University of Technology, Hefei 230009, China)

  • Hongbin Wu

    (Anhui Province Key Laboratory of Renewable Energy Utilization and Energy Saving, Hefei University of Technology, Hefei 230009, China)

  • Bin Xu

    (State Grid Anhui Electric Power Research Institute, Hefei 230061, China)

  • Jinjin Ding

    (State Grid Anhui Electric Power Research Institute, Hefei 230061, China)

Abstract

As the participation of photovoltaic–storage systems (PVSS) in the energy and frequency regulation ancillary service markets continues to increase, the market risks caused by photovoltaic output uncertainty will directly affect photovoltaic integration efficiency and the provision of system flexibility, thereby having a significant impact on the sustainable development of power systems. Therefore, studying the risk decision-making of PVSS in the energy and frequency regulation markets is of great importance for supporting the sustainable development of power systems. First, to address the issue where the existing studies regard PVSS as a price taker and fail to reflect the impact of bids on clearing prices and awarded quantities, this paper constructs a market bidding framework in which PVSS acts as a price-maker. Second, in response to the revenue volatility and tail risk caused by PV uncertainty, and the fact that existing CVaR-based bidding studies focus mainly on a single energy market, this paper introduces CVaR into the price-maker (Stackelberg) bidding framework and constructs a two-stage bi-level risk decision model for PVSS. Finally, using the Karush–Kuhn–Tucker (KKT) conditions and the strong duality theorem, the bi-level nonlinear optimization model is transformed into a solvable single-level mixed-integer linear programming (MILP) problem. A simulation study based on data from a PV–storage power generation system in Northwestern China shows that compared to PV systems participating only in the energy market and PVSS participating only in the energy market, PVSS participation in both the energy and frequency regulation joint markets results in an expected net revenue increase of approximately 45.9% and 26.3%, respectively. When the risk aversion coefficient, β, increases from 0 to 20, the expected net revenue decreases slightly by about 0.4%, while CVaR increases by about 3.4%, effectively measuring the revenue at different risk levels.

Suggested Citation

  • Xiaoming Wang & Kesong Lei & Hongbin Wu & Bin Xu & Jinjin Ding, 2026. "A Conditional Value-at-Risk-Based Bidding Strategy for PVSS Participation in Energy and Frequency Regulation Ancillary Markets," Sustainability, MDPI, vol. 18(2), pages 1-24, January.
  • Handle: RePEc:gam:jsusta:v:18:y:2026:i:2:p:1122-:d:1846113
    as

    Download full text from publisher

    File URL: https://www.mdpi.com/2071-1050/18/2/1122/pdf
    Download Restriction: no

    File URL: https://www.mdpi.com/2071-1050/18/2/1122/
    Download Restriction: no
    ---><---

    More about this item

    Keywords

    ;
    ;
    ;
    ;
    ;
    ;

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:gam:jsusta:v:18:y:2026:i:2:p:1122-:d:1846113. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: MDPI Indexing Manager (email available below). General contact details of provider: https://www.mdpi.com .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.