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Abstract
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Utilizing multi-carrier energy systems is a significant step toward a lower-carbon economy and
affordable energy production. Hence, this paper proposes a novel and comprehensive stochasticbased
decision-making strategy for the optimal short-term management of a power-to-gas included
energy hub considering the possibility of simultaneous participation as a prosumer in isolated dayahead
natural gas and electricity markets. The proposed model uses cross-product arbitrage between
natural gas and electricity markets to submit the optimal bids, including electricity and natural gas
buying/selling bids and offers. Furthermore, the uncertainties for day-ahead electricity and natural
gas prices have also been taken into account using a scenario generation method. Appropriate risk
measurement as conditional value at risk (CVaR) is also integrated into the model to mitigate the risk of
expected cost due to market price volatilities. The risk-averse condition has also been considered. The
proposed problem is finally formulated as mixed-integer linear programming and solved by executing
CPLEX solver in GAMS optimization software. The simulation results demonstrate that implementing
power-to-gas equipment and exploiting cross-product arbitrage in the day-ahead Natural gas and
electricity markets increase decision-making capability and save up to 16% in the energy procurement
cost of an energy hub.
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