Day-Ahead Price Arbitrage for Chebren Pumped Storage Hydropower Using Mixed-Integer Linear Programming
S.Vulovski Ivanov, M. Celeska Krstevska Faculty of Electrical Engineering and Information Technologies Ss. Cyril and Methodius University in Skopje, Skopje, North Macedonia 2026-06-27

Abstract

Pumped-storage hydropower provides large-scale flexibility by shifting energy from low- to high-price hours. This paper evaluates the day-ahead arbitrage potential of the Chebren pumped-storage concept using a daily mixed-integer linear programming (MILP) scheduling model implemented in MATLAB and driven by hourly HUPX day-ahead prices for 2025. The model captures key operational constraints, including generating and pumping power limits, turbine and pump efficiencies, storage-energy bounds, mutually exclusive operating modes, and daily caps on pumping and generating hours. A representative Chebren parameter set is adopted to illustrate market-driven operation under realistic technical limits.
A year-long simulation is carried out by solving the MILP sequentially day by day. The results show that dispatch decisions are driven primarily by intraday price spreads, with negative-price hours forming the most attractive pumping windows. For the adopted configuration, the annual net arbitrage profit reaches €51.95 million, with 599.26 GWh generated and 783.35 GWh consumed for pumping. The proposed workflow provides a transparent benchmark for Chebren’s day-ahead arbitrage value and a reproducible basis for sensitivity studies under alternative technical parameters and market conditions.

Key words: pumped-storage hydropower, day-ahead electricity market, electricity price volatility, mixed-integer linear programming, price arbitrage

References

[1] E. Barbour, I. A. G. Wilson, J. Radcliffe, Y. Ding, and Y. Li, “A review of pumped hydro energy storage development in significant international electricity markets,” Renewable and Sustainable Energy Reviews, vol. 61, pp. 421–432, Aug. 2016, doi: 10.1016/j.rser.2016.04.019.

[2] J. I. Pérez-Díaz, M. Chazarra, J. García-González, G. Cavazzini and A. Stoppato, “Trends and challenges in the operation of pumped-storage hydropower plants,” Renewable and Sustainable Energy Reviews, vol. 44, pp. 767–784, Apr. 2015, doi: 10.1016/j.rser.2015.01.029.

[3] M. Chazarra, J. I. Pérez-Díaz, and J. García-González, “Optimal energy and reserve scheduling of pumped-storage power plants considering hydraulic short-circuit operation,” IEEE Transactions on Power Systems, vol. 32, no. 1, pp. 344–353, Jan. 2016, doi: 10.1109/TPWRS.2016.2545740.

[4] European Commission, “Energy storage – underpinning a decarbonised energy system,” Publications Office of the EU, 2023[Online]. Available: https://eur-lex.europa.eu/legal-content/EN/ALL/?uri=uriserv:OJ.C_.2023.103.01.0001.01.ENG [Accessed: Jan. 31, 2026].

[5] Eurelectric, “Understanding ultra-low and negative power prices: causes, impacts and improvements,” 2024. [Online]. Available:https://www.eurelectric.org/wp-content/uploads/2024/11/Eurelectric-explainer-on-negative-prices.pdf  [Accessed: Jan. 31, 2026].

[6]  ACER & CEER, “Annual Report on the Results of Monitoring the Internal Electricity and Natural Gas Markets,” 2024 Edition, [Online]. Available: https://www.ceer.eu/national-report/national-reports-2024/

 [Accessed: Jan. 31, 2026].

[7] ENTSO-E, ENTSO-E Market Report 2024, Brussels, Belgium, 2024. [Online]. Available: https://eepublicdownloads.blob.core.windows.net/strapi-test-assets/strapi-assets/entso_e_market_report_2024_240628_14b2aab71f.pdf.

[Accessed: Jan. 31, 2026].

[8] International Energy Agency (IEA), Electricity 2025: Analysis and forecast to 2027, 2025. [Online]. Available: https://solarvision.org/wp-content/uploads/2025-02-iea-electricity2025.pdf.[Accessed: Jan. 31, 2026].

[9] P. Kanakasabapathy and K. S. Swarup, “Bidding strategy for pumped-storage plant in pool-based electricity market,” Energy Conversion and Management, vol. 51, no. 3, pp. 572–579, Mar. 2010, doi: 10.1016/j.enconman.2009.11.001.

[10] A. K. Varkani, A. Daraeepour, and H. Monsef, “A new self-scheduling strategy for integrated operation of wind and pumped-storage power plants in power markets,” Applied Energy, vol. 88, no. 12, pp. 5002–5012, Dec. 2011, doi: 10.1016/j.apenergy.2011.06.043.

[11] A. J. Hutchinson, C. M. Harrison, et al.,
“A comprehensive review of modeling approaches for grid-connected energy storage technologies,” Journal of Energy Storage, vol. 109, Art. no. 115057, Feb. 2025, doi: 10.1016/j.est.2024.115057.

[12] P. Favaro, M. Gobert, and J.-F. Toubeau, “Multi-fidelity optimization for the day-ahead scheduling of Pumped Hydro Energy Storage,” Journal of Energy Storage, vol. 103, Art. no. 114096, Dec. 2024, doi: 10.1016/j.est.2024.114096.

[13] F. Li, D. Wang, D. Liu, S. Yang, K. Sun, Z. Liu, H. Yu, and J. Qin, “A comprehensive review on energy storage system optimal planning and benefit evaluation methods in smart grids,” Sustainability, vol. 15, no. 12, Art. no. 9584, 2023, doi: 10.3390/su15129584.

[14] Energy and Water Services Regulatory Commission (ERC), “Annual Report for 2023,” Skopje, North Macedonia, 2024. [Online]. Available: https://www.erc.org.mk/odluki/ANNUAL%20REPORT%20for%202023%20-ERC.pdf [Accessed: Jan. 31, 2026].

[16] MEMO, “MEMO Day-Ahead Market (DAM) Report 2023,” Skopje, North Macedonia, 2024. [Online]. Available: https://dam.memo.mk/wp-content/uploads/2024/04/MEMO-DAM-Report_2023.pdf [Accessed: Jan. 31, 2026].

[17] Energy Community Secretariat, North Macedonia – Implementation Report 2025. Vienna, Austria, Nov. 2025. [Online]. Available: official Energy Community country-report PDF. [Accessed: Jan. 31, 2026].

[18] Energy Community Secretariat, Annual Implementation Report 2024. Vienna, Austria, Nov. 2024. [Online]. Available: official Energy Community annual report PDF. [Accessed: Jan. 31, 2026].

[19] AD ESM, “HPP Cebren,” Development and Investments Department, Skopje, North Macedonia, 2019. [Online]. Available: https://www.esm.com.mk/wp-content/uploads/2017/04/5_Cebren_-ANG_2019.pdf [Accessed: Jan. 31, 2026].

[20] JSC Macedonian Power Plants (ELEM), “Crna River Project,” Apr. 2008. [Online]. Available: https://www.kozlak.cz/web_morava15/image_mor/data/cebren-galiste_elem.pdf [Accessed: Jan. 31, 2026].

[21] HUPX, “Spot Markets: HUPX DAM (Day-ahead Market),” [Online]. Available: https://hupx.hu/spot-markets_en [Accessed: Jan. 31, 2026].

[22] HUPX, “Price and Volume Report Specification — HUPX Day-Ahead Market,” public documentation (PDF). [Online]. Available: https://hupx.hu/sites/default/files/media/file/2025/08/dam_hupx_price_volume_report_infouser_public_mats_v2_0.pdf [Accessed: Jan. 31, 2026].

[23] MathWorks, “intlinprog: Mixed-integer linear programming (MILP),” MathWorks Documentation. [Online]. Available: https://www.mathworks.com/help/optim/ug/intlinprog.html [Accessed: Jan. 31, 2026].