Optimizing Forward Market Trading Strategy for Renewable Power Producers Considering Revenue Sufficiency and Risk

Abstract

The increasing penetration of renewable energy leads to the frequent occurrences of zero-marginal-cost phenomenon in the spot market and causes missing money problems for renewable power producers (RPPs). Engagement in the forward market is a viable solution for RPPs to address this issue. This paper establishes a distributionally robust mean-variance model to optimize the RPPs' forward trading strategies. The model is further transformed into a tractable second-order-cone-programming one. Based on this model, RPPs are able to ensure their revenue sufficiency and mitigate revenue risks through the engagement in the forward market. We conduct case studies on RPPs' forward trading strategies under three typical market scenarios. In addition, we study the impacts of delivery mechanisms and the price of forward market on RPPs' trading strategies.