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Optimal electricity supply bidding by Markov decision process

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4 Author(s)
Song, H. ; Dept. of Electr. Eng., Washington Univ., Seattle, WA, USA ; Chen-Ching Liu ; Lawarree, J. ; Dahlgren, R.W.

The bidding decision making problem is studied from a supplier's viewpoint in a spot market environment. The decision-making problem is formulated as a Markov decision process-a discrete stochastic optimization method. All other suppliers are modeled by their bidding parameters with corresponding probabilities. A systematic method is developed to calculate transition probabilities and rewards. A simplified market clearing system is also included in the implementation. A risk-neutral decision-maker is assumed, the optimal strategy is calculated to maximize the expected reward over a planning horizon. Simulation cases are used to illustrate the proposed method

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Power Systems, IEEE Transactions on  (Volume:15 ,  Issue: 2 )