DER Aggregator's Data-Driven Bidding Strategy Using the Information Gap Decision Theory in a Non-Cooperative Electricity Market

When multiple distributed energy resource (DER) aggregators exist in a non-cooperative power market, the calculation of individual aggregator's bidding strategies could encounter significant uncertainties for considering DERs and competing market participants' bidding strategies. In this paper, a bi-level bidding strategy optimization model is proposed for a DER aggregator which utilizes wind power, energy storage system (ESS), and curtailable load. At the upper level, the designated aggregator's bidding strategy is optimized considering the wind power uncertainty. The wind forecast error is modeled by an ambiguity set using the data-driven approach. The information gap decision theory (IGDT) method is employed in this paper to maximize the risk level the designated aggregator can bear for a certain level of expected payoff. By detecting the worst case in wind power generation, the upper-level model is linearized as an MILP. The designated aggregator submits its bids to the market using the linear utility function acquired from linear regression. At the lower level, the market clearing is carried out using competing market participants' bidding strategy scenarios. The scenarios and the corresponding probability are modeled through a data-driven approach. The market clearing problem is linearized using Taylor series. The price signal is iterated between the two levels as the proposed bi-level model is solved. Numerical results prove the validity and effectiveness of the proposed IGDT-based method. It is shown that the aggregator can adjust either the bidding quantities or coefficients to reach an expected payoff level. The bidding strategies are affected by uncertainties of wind power and competing bidding strategies. For an expected payoff level, when the designated aggregator is posed to consider a higher risk of wind power uncertainty, the aggregator can only bear a lower risk level from competing bidding strategies and vice versa.