A Multi‐Stage Bidding Strategy for Integrated Energy Refueling Stations in Electricity and Ancillary Markets Under Time‐Unfolding Uncertainties of Demand and Prices

ABSTRACT Driven by the co‐development of the hydrogen sector and new energy vehicles, integrated energy refueling stations (IERSs) that merge photovoltaic (PV) generation, battery energy storage systems (BESS), electric vehicle (EV) charging, fuel cell EV (FCEV) hydrogen refueling, and on‐site electrolysis face intricate multi‐energy allocation decisions under time‐varying uncertainty. This paper formulates a multi‐stage joint bidding model for electricity and ancillary service markets that embeds electric–hydrogen coupling, electrolyzer efficiency, and external hydrogen purchase costs. High‐dimensional uncertainties in PV output, electricity prices, and charging/hydrogen demand are represented by Markov state transitions and reduced scenario sets. User waiting time is captured through a linear satisfaction‐cost term, leading to a marginal‐benefit game that allocates battery power between EV charging and electrolysis. Case studies with field data show that the proposed model enhances IERS profits and operational coordination across market stages. Sensitivity analyses reveal that raising the grid hydrogen price from 150 $/MWh to 350 $/MWh increases the contribution of on‐site electrolysis from 6% to 91% under low waiting penalties and to 47% under moderate penalties, confirming the model's ability to quantify trade‐off between hydrogen sourcing pathways.