Multistage Stochastic Programming for VPP Trading in Continuous Intraday Electricity Markets

The stochastic nature of renewable energy sources has increased the need for intraday trading in electricity markets. Intradaymarkets provide possibility to market participants modify their positions based on updated forecasts. In this paper, we propose a multistage programming approach model Virtual Power Plant (VPP), comprising thermal, wind and hydro power plants, Continuous Intraday (CID) market. order clearing CID is enabled by two presented models, namely Immediate Order Clearing (IOC) Partial (POC). We tackle proposed problem with modified version Stochastic Dual Dynamic Programming (SDDP) algorithm. functionality our demonstrated performing illustrative large scale case studies comparing performance benchmark model.