A bilevel multistage stochastic self-scheduling model with indivisibilities for trading in the continuous intraday electricity market
In this paper, we study the profit maximization problem of a virtual power plant trading in the continuous intraday electricity market. Our virtual power plant model is compatible with renewable, and thermal assets, covering a range of virtual power plants currently participating in energy markets....
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| Vydáno v: | European journal of operational research Ročník 328; číslo 3; s. 966 - 988 |
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| Hlavní autoři: | , |
| Médium: | Journal Article |
| Jazyk: | angličtina |
| Vydáno: |
Elsevier B.V
01.02.2026
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| Témata: | |
| ISSN: | 0377-2217 |
| On-line přístup: | Získat plný text |
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| Shrnutí: | In this paper, we study the profit maximization problem of a virtual power plant trading in the continuous intraday electricity market. Our virtual power plant model is compatible with renewable, and thermal assets, covering a range of virtual power plants currently participating in energy markets. We model the trading problem as a bilevel multistage stochastic program. The upper level of the problem accounts for the profit maximization of the virtual power plant with explicit modeling of the technical constraints of the operational status of the thermal power plant including minimum start-up and shut-down times, ramp-up and ramp-down rates, and minimum generation level. The upper level also decides which continuous and indivisible (fill-or-kill) orders are submitted to the market. The lower-level problem accounts for the clearing of the continuous intraday market, i.e., matching of buy and sell orders. Because of the presence of fill-or-kill orders, the lower-level problem is mixed-integer, which prevents its direct conversion to a single-level problem using duality. In order to solve this challenging problem, we develop a convex-hull extended formulation for the lower-level problem, apply duality theory to obtain a single-level stochastic equivalent formulation, and employ McCormick envelopes to turn the problem into a multistage stochastic mixed-integer linear problem, which we solve using the stochastic dual dynamic integer programming algorithm. We conduct numerical experiments and analyze the optimal trading behavior of a virtual power plant trading in an ideal continuous market without arbitrage.
•Profit maximizing forward-looking approach for trading in continuous intraday market.•Technical limits of thermal assets modeled to submit continuous or indivisible orders.•Clearing continuous intraday market with fill-or-kill orders at lower level.•Convex hull of lower level is formed to apply duality to create single-level model.•Novel approach to avoid arbitrage without the use of binary variables. |
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| ISSN: | 0377-2217 |
| DOI: | 10.1016/j.ejor.2025.06.002 |