Self-Directed Learning: Renewables in Electricity Markets

This page compiles my notes, study materials, and practical projects on electricity market design, clearing mechanisms, and deregulated operations. A primary resource for this study is the DTU course Renewables in Electricity Markets (46755) taught by Prof. Jalal Kazempour in the Spring semester of 2025 at DTU (available via the DTU Course Catalog and the YouTube Lecture Playlist).

Status: In Progress (Completed Lectures 0 to 3. Below links will direct to detailed notes and projects as they are completed).

This course provides a comprehensive overview of electricity markets, covering both system-level and market participant perspectives. The curriculum includes:

I. System and Market Perspective

Lecture 0: Introduction of the Course (Completed)

• Lecture Slides (PDF)
• Study Notes (Markdown)
• 8 Objectives of learning the course
• Introduction of 2 assignments:
  • Course Assignment 1: System Perspective: The assignment sheet can be viewed in Assignment 1 Description (PDF) (rubric: Rubric Table (PDF)). The assignment will be solved in this Assignment 1 Solutions (Markdown) file.
  • Course Assignment 2: Stakeholder Perspective: The assignment sheet can be viewed in Assignment 2 Description (PDF). The assignment will be solved in this Assignment 2 Solutions (Markdown) file.

Lecture 1: Introduction to electricity markets (Completed)

• Lecture Slides (PDF)
• Study Notes (Markdown)
• Study Notes (PDF)
• Quick Summary:
  • Learned about shifting from centralized TSO dispatch to decentralized power markets (modeled using Game Theory).
  • Covered uniform pricing (settling at the Market Clearing Price) vs. pay-as-bid schemes.
  • Explored what makes electricity markets unique (non-storability, inelastic demand, grid constraints).
  • Played a super fun 🎮 Kahoot quiz on calculating social welfare and supplier profits (still Notworking! 😜)

Lecture 2: Fundamentals of Electricity Market (Completed)

• Lecture Slides (PDF)
• Study Notes (Markdown)
• Study Notes (PDF)
• Quick Summary:
  • Classified power market actors (consumers, retailers, market operators, TSOs, DSOs, regulators, BRPs, and flexibility aggregators).
  • Explored energy market timelines (futures, day-ahead/spot, intraday, and balancing) and ancillary services (FCR, aFRR, mFRR).
  • Compared European (TSO/MO separation, zonal, sequential clearing) vs. U.S. markets (ISO, nodal, joint co-optimization).
  • Formulated market clearing mathematically as a linear optimization problem, using the Lagrangian function and KKT optimality conditions to verify market prices.

Market Clearing: Optimization vs. Equilibrium (To be updated)

• Market clearing as an optimization problem
• Market clearing as a competitive equilibrium problem
• Definitions of Nash equili, quitrium and mixed complementarity problems

Lecture 3: Day-Ahead Market (Completed)

• Lecture Slides (PDF)
• Study Notes (Markdown)
• Study Notes (PDF)
• Quick Summary:
  • Explored Single Day-Ahead Coupling (SDAC) in Europe using the EUPHEMIA hybrid market integration algorithm.
  • Analyzed network effects on clearing outcomes, price distribution, and congestion rent collection.
  • Formulated the mathematical differences between Nodal (LMP-based, e.g., US ISOs) and Zonal (European) market-clearing models.
  • Studied linear DC power-flow approximations used to maintain convex, globally solvable optimization problems.
  • Evaluated Flow-Based Market Coupling as a more grid-reflective alternative to traditional Net Transfer Capacity (NTC) zonal models.

Intraday Markets (To be updated)

• Market structure and practical implementation (focus on European markets)
• Continuous intraday trading
• Auction-based intraday markets

Balancing Markets (To be updated)

• Practical implementation (focus on European markets)
• Market-clearing problem formulated as an optimization problem
• One-price vs. two-price balancing settlements

Ancillary Service Markets (To be updated)

• Overview of ancillary service markets (focus on European and Nordic markets: mFRR, aFRR, FCR)
• Market-clearing problem formulated as an optimization problem
• Ongoing European initiatives for balancing

Impacts of Renewable Energy on Electricity Markets (To be updated)

II. Market Participant Perspective

Offering Strategy of a Price-Taker Wind Power Producer (To be updated)

• Price-taker vs. price-maker
• Offering strategy as a newsvendor problem
• Stochastic programming for decision-making under uncertainty
• Risk considerations
• Decision quality analysis: Ex-post out-of-sample validation and cross-validation

Offering Strategy of a Flexibility Aggregator in Ancillary Service Markets (To be updated)

• Pre-qualification requirements for bidding in ancillary service markets
• Chance-constrained programming and solution techniques
• Chance-constrained optimization model for offering strategies