Renewables in electricity markets

This course provides a comprehensive overview of electricity markets, covering both system-level and market participant perspectives. The curriculum includes:

System and Market Perspective

Fundamentals of Electricity Markets - Supply and demand curves and the merit-order principle - Definitions of social welfare and equilibrium - Various pricing mechanisms - Different electricity markets and market actors - Comparison of European and U.S. electricity markets

Market Clearing: Optimization vs. Equilibrium - Market clearing as an optimization problem - Market clearing as a competitive equilibrium problem - Definitions of Nash equilibrium and mixed complementarity problems

Day-Ahead Markets - Practical aspects (focus on European markets) - Market-clearing problem formulated as an optimization problem - Price verification through optimality conditions - Network effects: Zonal vs. nodal market clearing - Flow-based market coupling

Intraday Markets - Market structure and practical implementation (focus on European markets) - Continuous intraday trading - Auction-based intraday markets

Balancing Markets - Practical implementation (focus on European markets) - Market-clearing problem formulated as an optimization problem - One-price vs. two-price balancing settlements

Ancillary Service Markets - Overview of ancillary service markets (focus on European and Nordic markets: mFRR, aFRR, FCR) - Market-clearing problem formulated as an optimization problem - Ongoing European initiatives for balancing

Impacts of Renewable Energy on Electricity Markets

Market Participant Perspective

Offering Strategy of a Price-Taker Wind Power Producer - Price-taker vs. price-maker - Offering strategy as a newsvendor problem - Stochastic programming for decision-making under uncertainty - Risk considerations - Decision quality analysis: Ex-post out-of-sample validation and cross-validation

Offering Strategy of a Flexibility Aggregator in Ancillary Service Markets - Pre-qualification requirements for bidding in ancillary service markets - Chance-constrained programming and solution techniques - Chance-constrained optimization model for offering strategies

Electricity markets play a central role in the exchange of electricity today. The growing integration of renewable energy sources into power systems has a significant and complex impact on these markets. This course aims to introduce students to the fundamental aspects of renewable energy in electricity markets, considering perspectives from both market operators and market participants.

Lectures, exercises, computer exercises, project work