Optimal offering strategies in day-ahead electricity markets under uncertainty

This paper addresses the self-scheduling problem of a hydrothermal producer, which is formulated and solved as a two-stage stochastic programming problem with recourse in order to account for market uncertainty. The producer is considered to own thermal and hydro generating units and participate as a price-maker in the day-ahead energy market. Forward bilateral contracts with end-consumers are considered and their effect on the producer self-schedule and profits is examined. The CVaR metric accounting for risk management is also incorporated. Post-processing techniques are applied for the construction of the generating units optimal offer curves to be submitted to the day-ahead energy market.