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Modelling Dynamic Constraints in Electricity Markets and the Costs of Uncertain Wind Output

Author

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  • Müsgens, F.
  • Neuhoff, K.

Abstract

Building on models that represent inter-temporal constraints in the optimal production decisions for electricity generation, the paper analysis the resulting costs and their impact on prices during the day. We linearise the unit commitment problem to facilitate the interpretation of shadow prices. Analytic research gives insights for a system with one technology and numeric implementation provides results for the German power system. The model is expanded to a stochastic optimisation with recourse. The model is used to calculate the cost of wind uncertainty and the value of updating wind forecasts.

Suggested Citation

  • Müsgens, F. & Neuhoff, K., 2006. "Modelling Dynamic Constraints in Electricity Markets and the Costs of Uncertain Wind Output," Cambridge Working Papers in Economics 0610, Faculty of Economics, University of Cambridge.
  • Handle: RePEc:cam:camdae:0610
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    File URL: http://www.electricitypolicy.org.uk/pubs/wp/eprg0514.pdf
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    Citations

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    Cited by:

    1. Green, Richard & Vasilakos, Nicholas, 2010. "Market behaviour with large amounts of intermittent generation," Energy Policy, Elsevier, vol. 38(7), pages 3211-3220, July.
    2. Hiroux, C. & Saguan, M., 2010. "Large-scale wind power in European electricity markets: Time for revisiting support schemes and market designs?," Energy Policy, Elsevier, vol. 38(7), pages 3135-3145, July.
    3. Paulus, Moritz & Borggrefe, Frieder, 2011. "The potential of demand-side management in energy-intensive industries for electricity markets in Germany," Applied Energy, Elsevier, vol. 88(2), pages 432-441, February.
    4. Corsatea, Teodora Diana & Giaccaria, Sergio & Covrig, Catalin-Felix & Zaccarelli, Nicola & Ardelean, Mircea, 2016. "RES diffusion and R&D investments in the flexibilisation of the European electricity networks," Renewable and Sustainable Energy Reviews, Elsevier, vol. 55(C), pages 1069-1082.
    5. Ambec, Stefan & Crampes, Claude, 2012. "Electricity provision with intermittent sources of energy," Resource and Energy Economics, Elsevier, vol. 34(3), pages 319-336.

    More about this item

    Keywords

    Electricity Markets; Energy Modelling; Optimisation Models;

    JEL classification:

    • C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
    • Q41 - Agricultural and Natural Resource Economics; Environmental and Ecological Economics - - Energy - - - Demand and Supply; Prices

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