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Price-taker bidding strategy under price uncertainty

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3 Author(s)
A. J. Conejo ; E.T.S.I. Industriales, Univ. de Castilla-La Mancha, Ciudad Real, Spain ; F. J. Nogales ; J. M. Arroyo

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.

Published in:

IEEE Transactions on Power Systems  (Volume:17 ,  Issue: 4 )