Strategic Wind Power Investment

This paper considers the problem of identifying the optimal investment of a strategic wind power investor that participates in both the day-ahead (DA) and the balancing markets. This investor owns a number of wind power units that jointly with the newly built ones allow it to have a dominant position and to exercise market power in the DA market, behaving as a deviator in the balancing market in which the investor buys/sells its production deviations. The model is formulated as a stochastic complementarity model that can be recast as a mixed-integer linear programming (MILP) model. A static approach is proposed focusing on a future target year, whose uncertainties pertaining to demands, wind power productions, and balancing market prices are precisely described. The proposed model is illustrated using a simple example and two case studies.