Renewables in Electricity Markets

General course description and objectives

Electricity markets are today central in the way we exchange electricity. The increasing penetration of renewable energy sources in power systems has a substantial and complex impact on these electricity markets. In this context, the objective of this course is to introduce the students to the fundamental aspects of renewable energy in electricity markets, from the point of view of both market operators and market participants. The course then covers three major topics:

  • Firstly, the various types of electricity markets are described, with emphasis placed on market-clearing procedures and their formulation as optimization problems. We consequently aim at understanding and analyzing the impact of renewable energy on the market clearing outcomes, and on the revenues or participants
  • Secondly, the course will focus on the problem of designing optimal offering strategies in electricity markets with high penetration of renewable energy sources, and valuing these strategies in practice
  • Finally, based the wealth of data that can be available in electricity markets today, we will look at various ways to produce meaningful analysis of such data, also to produce relevant forecasts for market clearing or market participation

For these various parts, the course will rely on compact lectures and sets of exercises for the students to fully appraise the basic concepts to be covered. In parallel, most of the course will rely on project work in groups (i.e., the assignments to be delivered), where the students will have to go through the whole process from problem and model formulation, application to real-world datasets, while finally analyzing and presenting their results. Exercises and games may be solved by hand, and additionally using your favorite data handling and optimization platforms (e.g., R, Matlab, GAMS, Excel is *NOT* recommended), etc.).

A board game session is organized after the first 4 lectures, in order to appraise the fundamentals of power markets in a more interactive manner. This session is to rely on the ENSIGHT game.

Here is a link to the the course contents and schedule.

Learning objectives:

A student who has met the objectives of the course will be able to:

  • Explain the fundamentals of electricity markets
  • Describe the impact of renewables on electricity markets
  • Collect and analyse datasets of relevance in electricity markets
  • Model and forecast relevant quantities, e.g., load, prices, or renewable energy generation
  • Design and apply offering strategies in electricity markets
  • Write and solve relevant optimization problems for market-clearing and offering strategies
  • Analyse and present the results to a broad audience

Course Literature:

The slides for the various lectures (below) have direct links to relevant and additional literature.
Besides, some extra readings are suggested to complement the lecture slides. Some of those are available through DTU Findit, others can be downloaded through the authors’ websites. These are:

  • S. Stoft (2002) “Power Systems Economics”: Part I: Power Market Fundamentals
  • D. Kirschen, G. Strbac (2004) “Fundamentals of Power System Economics” (available through DTU Findit): Chapters 1-6
  • C. Harris (2006) “Electricity Markets: Pricing, Structures and Economics” (available through DTU Findit): Chapters 1-5
  • J.M. Morales, A. Conejo, H. Madsen, P. Pinson, M. Zugno (2014) “Integrating Renewables in Electricity Markets” (available through DTU Findit): Chapters 1-4, 6-7, as well as Appendices
  • D.R. Biggar, M.R. Hesamzadeh (2014) “The Economics of Electricity Markets”, (available through DTU Findit: Parts I-III and IX
  • D.G. Luenberger, Y. Ye (2008) “Linear and Nonlinear Programming – 3rd Ed.”, (available through DTU Findit, only for those interested in the math/programming aspects)
  • J.A. Taylor (2015) “Convex Optimization of Power Systems” (available through DTU Findit, for those interested in more advanced problems)

If you need clarifications, more targeted or extra readings, do not hesitate to ask!

Lectures:

Here is the list of the lectures to be given, with the slides available, through the course period (see also the course schedule):

  • Lecture 0: “Renewables in electricity markets – Introduction ” (Pierre Pinson, DTU Elektro)
  • Lecture 1: “Fundamentals of electricity markets – An overview” (Pierre Pinson, DTU Elektro)
  • Bonus: “An example vision for future electricity markets” (Pierre Pinson, DTU Elektro)
  • Lecture 2: “Day-ahead electricity markets” (Pierre Pinson, DTU Elektro)
  • Lecture 3: “Regulatory and policy-related impact on electricity markets” (Klaus Skytte, DTU Management Engineering), as well as related in-class exercise
  • Lecture 4: “Ancillary services and regulation markets” (Pierre Pinson, DTU Elektro)
  • Lecture 5: “Intra-day and balancing markets” (Pierre Pinson, DTU Elektro)
  • Lecture 6: “Participation of renewables in electricity markets” (Pierre Pinson, DTU Elektro)
  • Lecture 7: “Electricity markets and game theory” (Tue V. Jensen, DTU Elektro)
  • Lecture 8: “Experiencing the whole electricity market chain” (Pierre Pinson, DTU Elektro)
  • Lecture 9: “Basics of renewable energy analytics” (Pierre Pinson, DTU Elektro)
  • Lecture 10: “Verification of renewable energy forecasts” (Pierre Pinson, DTU Elektro)
  • Lecture 11: “Renewable Energy Modelling and Forecasting” (Pierre Pinson, DTU Elektro)
  • Lecture 12, Lecture 13, etc.: Panel session with US guests + guest lecture by Jalal Kazempour (DTU Elektro)

Note that this agenda is provisional, as I typically change the programme depending on progress of the course and students requests.

Exercise sessions:

Here is the list of the exercise sessions through the course period (see also the course schedule):

Implementation support material:

Find here support material for programming some of the concepts described in the lectures:

Assignments:

Here is the list of the assignments to be handed in through the course period (see also the course schedule):

  • Assignment 0: “How would you design an electricity market?”
  • Assignment 1: “Build and operate a realistic day-ahead electricity market”
  • Assignment 2: “Trading and revenue optimization for a renewable energy producer in the electricity market”
  • Assignment 3: “Renewable energy forecasting – Let’s compete!”

Additional projects (e.g., as special courses):

For those interested in additional projects, which could be done in the frame of a special course (most likely for 5 ECTS), a document describing example projects, instructions for completion, while pointing at further readings, is available here

Miscelleanous:

The link to Tue V. Jensen’s simple bidding game: Guess the average!

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