A Risk-aware Bi-level Bidding Strategy for Virtual Power Plant with Power-to-Hydrogen System

This paper presents a risk-aware bi-level bidding strategy for Virtual Power Plant (VPP) that integrates Power-to-Hydrogen (P2H) system, addressing the challenges posed by renewable energy variability and market volatility. By incorporating Conditional Value at Risk (CVaR) within the bi-level optimization framework, the proposed strategy enables VPPs to mitigate financial risks associated with uncertain market conditions. The upper-level problem seeks to maximize revenue through optimal bidding, while the lower-level problem ensures market-clearing compliance. The integration of the P2H system allows surplus renewable energy to be stored as hydrogen, which is utilized as an energy carrier, thereby increasing market profitability and enhancing resilience against financial risks. The effectiveness of the proposed strategy is validated through a modified IEEE 14 bus system, demonstrating that the inclusion of the P2H system and CVaR-based risk aversion enhances both revenue and financial hedging capability under volatile market conditions.This paper underscores the strategic role of hydrogen storage in VPP operations, contributing to supporting improved profitability and the efficacy of a risk-aware bidding strategy.