Optimal yearly scheduling of generation and pumping for a price-maker hydro producer

The objective of this paper is to present a mixed-integer approach to the yearly self-scheduling problem of a price-maker hydro producer with pumped storage. The producer's bidding strategy is modeled through a residual demand curve, which provides market clearing price as a function of the producer's quota. The curve is properly modified, enabling the definition of optimal pumping bids. The nonlinear profit function is linearized by using binary variables. A mixed-integer program is thus formulated; model hourly constraints include reservoir water balance, reservoir volume limits and hydro unit operating limits. The method is applied to an independent mid-sized hydroelectric generating company, similar to the hydro subsystem of the Public Power Corporation of Greece. Results include market clearing prices, generation and pumping schedules and reservoir management. Optimal pumping operation is a straightforward result. Test cases assessing the impact of fixed forward contracts on the producer's bidding strategy are also solved.