Price-taker bidding strategy under price uncertainty

Author

Conejo, Antonio J. ; Nogales, Francisco Javier ; Arroyo, José Manuel

Author_Institution

E.T.S.I. Industriales, Univ. de Castilla-La Mancha, Ciudad Real, Spain

Volume

17

Issue

4

fYear

2002

fDate

11/1/2002 12:00:00 AM

Firstpage

1081

Lastpage

1088

Abstract

This paper provides a framework to obtain the optimal bidding strategy of a price-taker producer. An appropriate forecasting tool is used to estimate the probability density functions of next-day hourly market-clearing prices. This probabilistic information is used to formulate a self-scheduling profit maximization problem that is solved taking advantage of its particular structure. The solution of this problem allows deriving a simple yet informed bidding rule. Results from a realistic case study are discussed in detail.

Keywords

linear programming; power markets; probability; MILP; forecasting tool; next-day hourly market-clearing prices; optimal bidding strategy; pool-based electricity market; price uncertainty; price-taker bidding strategy; price-taker producer; probability density functions estimation; self-scheduling; self-scheduling profit maximization problem; Cost function; Covariance matrix; Economic forecasting; Electricity supply industry; Information analysis; Power generation; Probability density function; Random variables; Uncertainty; Upper bound;

fLanguage

English

Journal_Title

Power Systems, IEEE Transactions on

Publisher

ieee

ISSN

0885-8950

Type

jour

DOI

10.1109/TPWRS.2002.804948

Filename

1137597