This work considers a strategic producer whose generation portfolio consists of conventional and wind power production. Based on the single leader-follower game, a bi-level complementarity model is constructed to derive optimal capacity withholding strategies for this portfolio in a pool-based market. The upper level of the model represents the maximization of the strategic producer’s expected profits while the lower level represents the security-constrained economic dispatch conducted by the independent system operator. The market clearing scheme refers to energy-only markets optimizing jointly scheduled energy and reserves through a two-stage stochastic programming. The first stage illustrates the day-ahead market clearing and the second stage illustrates the balancing market clearing taking into consideration the wind generation uncertainty. With the use of the Karush-Kuhn-Tacker optimality conditions the initial bi-level model is recast into a mathematical programming with equilibrium constraints model which is then reduced into an equivalent mixed integer linear programming using the strong duality theorem and disjunctive constraints. The proposed algorithm derives optimal scheduled thermal and wind energy as well as reserve deployments. It also provides optimal offers based on the endogenous formation of local marginal prices under network constraints and different wind energy penetration levels.

这项工作考虑了一个战略生产者，其发电量包括常规发电和风力发电。基于单个领导者跟随者博弈，构建了一个二级互补模型，以在基于池的市场中为该投资组合推导最佳的容量扣留策略。模型的较高层代表战略生产者的预期利润的最大化，而较低层则代表由独立系统运营商进行的受安全约束的经济调度。市场清理计划是指仅能源市场，它通过两阶段随机规划来优化联合调度的能源和储量。第一阶段说明日间市场清算，第二阶段说明考虑到风力发电不确定性的平衡市场清算。通过使用Karush-Kuhn-Tacker最优性条件，将初始的双层模型重铸为具有平衡约束模型的数学规划，然后使用强对偶定理和析取约束将其简化为等效的混合整数线性规划。所提出的算法可得出最佳的计划热能和风能以及储备部署。它还根据网络约束和不同风能渗透水平下本地边际价格的内生形成来提供最佳报价。