3. Optimal Scheduling of a Risk-Neutral Virtual Power Plant in Energy Markets

This chapter addresses the scheduling problem of a virtual power plant (VPP) in different energy markets. This problem is solved to determine the optimal energy traded by the VPP in these markets, as well as the production and consumption of the energy resources that comprise the VPP with the aim of maximizing the profit of the VPP while complying with the technical constraints of these generation and consumption assets. Therefore, the scheduling problem is essential to achieve an efficient and secure operation of the VPP. Due to uncertainties in the market prices and the available production levels of stochastic renewable generating units, this is a decision-making problem under uncertainty. To accomplish these tasks, the scheduling problem is formulated through two practical options based on deterministic and stochastic approaches. The deterministic approach models the uncertainties involved in the scheduling problem by single-point forecasts, which are used as a single scenario. On the other hand, the stochastic approach models the uncertainties through a number of scenarios. A risk-neutral VPP that is indifferent to financial risks resulting from uncertainties is considered.