Optimal bidding strategies of GENCO under uncertain information of rivals using CVaR

Due to transmission and other constraints, competitive electricity markets are oligopoly instead of perfectly competitive. Hence, Gencos are required to bid strategically to get more profit but the rivals complete information is not available. A strategic producer is considered who trades in day-ahead electricity market with imperfect information of rivals obtained from the historical data. Using this information, an optimization framework is developed to devise optimal bids for maximum profit with minimum risk. Conditional value at risk (CVaR) is used for the risk due to uncertain information of rival´s bids. The proposed method has been tested on a six generator example and optimal solution is obtained with efficient frontier between expected losses and CVaR.