Bidding Strategy for Generators with Constraints in Day-Ahead Electricity Markets

Over the next decade, fossil fuel electricity generators will remain as important as zero-carbon renewable generators from a grid reliability perspective. Such fossil fuel generators often have operating constraints in terms of ramp up/down speeds, minimum down times, and minimum generation limits. In this paper, we present a methodology for generators with such constraints to participate in a two-sided day-ahead electricity market. Specifically, our approach determines the sell bids for a generator so that the likelihood of the generator's market cleared volume to satisfy its own operating constraints is increased without significantly reducing the generator's profitability. We achieve this through an iterative mathematical programming procedure that makes use of the forecasted market behavior. Ours is one of the first few works to focus on this problem. We simulate the performance of our approach on real world market data logs obtained from the European Power Exchange (EPEX). We find that the proposed strategy gives a better trade-off between profit and constraint violations in comparison to naive baselines - our strategy decreases the constraint violations by as much as 45 % while marginally affecting the profits by just 6%.