Price-taker bidding strategy under price uncertainty

IEEE Transactions on Power Systems

Volumn 17, Issue 4, 2002, Pages 1081-1088

  Conejo, Antonio J ^a   Nogales, Francisco Javier ^a   Arroyo, José Manuel ^a  

^a UNIVERSITY OF CASTILLA LA MANCHA   (Spain)

Author keywords

Bidding strategy; Forecasting; MILP; Pool based electricity market; Price taker producer; Self scheduling

Indexed keywords

DECISION MAKING; MATRIX ALGEBRA; PROBABILITY DENSITY FUNCTION; PROBLEM SOLVING; SCHEDULING;

PRICE UNCERTAINTY; PRICE-TAKER BIDDING; SELF-SCHEDULING;

ELECTRIC LOAD FORECASTING;

EID: 0036872106     PISSN: 08858950     EISSN: None     Source Type: Journal    
DOI: 10.1109/TPWRS.2002.804948     Document Type: Article

References (40)

1. (2002) Compañía Operadora del Mercado Español de Electricidad, S.A. (Spanish Market Operator). Tech. Rep., OMEL. [Online]. Available: http://www.omel.es
2. (2002). Tech. Rep., ISO New England Inc.. [Online]. Available: http://www.iso-ne.com
3. (2002). Tech. Rep., ERCOT, The Electric Reliability Council of Texas, Inc.. [Online]. Available: http://www.ercot.com
4. J. M. Arroyo and A. J. Conejo, "Optimal response of a thermal unit to an electricity spot market," IEEE Trans. Power Syst., vol. 15, pp. 1098-1104, Aug. 2000.
5. A. K. David and F. Wen, "Strategic bidding in competitive electricity markets: A Literature survey," in Proc. Power Eng. Soc. Summer Meeting vol. 4, Seattle, WA, July 2000, pp. 2168-2173.
6. A. K. David, "Competitive bidding in electricity supply," Proc. Inst. Elect. Eng., vol. 140, pp. 421-426, Sept. 1993.
7. G. Gross and D. J. Finlay, "Optimal bidding strategies in competitive electricity markets," in Proc. 12th Power Syst. Computat. Conf. (PSCC'96), Dresden, Germany, Aug. 19-23, 1996, pp. 815-823.
8. J. W. Lamont and S. Rajan, "Strategic bidding in an energy brokerage," IEEE Trans. Power Syst., vol. 12, pp. 1729-1733, Nov. 1997.
9. E. S. Huse, I. Wangensteen, and H. H. Faanes, "Thermal power generation scheduling by simulated competition," IEEE Trans. Power Syst., vol. 14, pp. 472-477, May 1999.
10. S. Hao, "A study of basic bidding strategy in clearing pricing auctions," IEEE Trans. Power Syst., vol. 15, pp. 975-980, Aug. 2000.
11. S. Shrestha, S. Kai, and L. Goel, "Strategic bidding for minimum power output in the competitive power market," IEEE Trans. Power Syst., vol. 16, pp. 813-818, Nov. 2001.
12. R. W. Ferrero, S. M. Shahidehpour, and V. C. Ramesh, "Transaction analysis in deregulated power systems using game theory," IEEE Trans. Power Syst., vol. 12, pp. 1340-1347, Aug. 1997.
13. R. W. Ferrero, J. F. Rivera, and S. M. Shahidehpour, "Application of games with incomplete information for pricing electricity in deregulated power pools," IEEE Trans. Power Syst., vol. 13, pp. 184-189, Feb. 1998.
14. X. Guan, Y.-C. Ho, and D. L. Pepyne, "Gaming and price spikes in electric power markets," IEEE Trans. Power Syst., vol. 16, pp. 402-408, Aug. 2001.
15. J.-B. Park, B. H. Kim, M.-H. Jung, and J.-K. Park, "A continuous strategy game for power transactions analysis in competitive electricity markets," IEEE Trans. Power Syst., vol. 16, pp. 847-855, Nov. 2001.
16. J. Contreras, O. Candiles, J. I. de la Fuente, and T. Gómez, "A cobweb bidding model for competitive electricity markets," IEEE Trans. Power Syst., vol. 17, pp. 148-153, Feb. 2002.
17. H. Song, C.-C. Liu, and J. Lawarrée, "Nash equilibrium bidding strategies in a bilateral electricity market," IEEE Trans. Power Syst., vol. 17, pp, 73-79, Feb. 2002.
18. C. A. Li, A. J. Svoboda, X. H. Guan, and H. Singh, "Revenue adequate bidding strategies in competitive electricity markets," IEEE Trans. Power Syst., vol. 14, pp. 492-497, May 1999.
19. I. Otero-Novas, C. Meseguer, C. Batlle, and J. J. Alba, "A simulation model for a competitive generation market," IEEE Trans. Power Syst., vol. 15, pp. 250-256, Feb. 2000.
20. J. Contreras, O. Candiles, J. I. de la Fuente, and T. Gómez, "Auction design in day-ahead electricity markets," IEEE Trans. Power Syst., vol. 16, pp. 409-417, Aug. 2001.
21. C. W. Richter Jr, G. B. Sheblé, and D. Ashlock, "Comprehensive bidding strategies with genetic programming/finite state automata," IEEE Trans. Power Syst., vol. 14, pp. 1207-1212, Nov. 1999.
22. C. W. Richter Jr. and G. B. Sheblé, "Genetic algorithm evolution of utility bidding strategies for the competitive marketplace," IEEE Trans. Power Syst., vol. 13, pp. 256-261, Feb. 1998.
23. X. Guan, Y.-C. Ho, and F. Lai, "An ordinal optimization based bidding strategy for electric power suppliers in the daily energy market," IEEE Trans. Power Syst., vol. 16, pp. 788-797, Nov. 2001.
24. D. Zhang, Y. Wang, and P. B. Luh, "Optimization based bidding strategies in the deregulated market," IEEE Trans. Power Syst., vol. 15, pp. 981-986, Aug. 2000.
25. F. Wen and A. K. David, "Optimal bidding strategies and modeling of imperfect information among competitive generators," IEEE Trans. Power Syst., vol. 16, pp. 15-21, Feb. 2001.
26. H. Song, C.-C. Liu, J. Lawarrée, and R. W. Dahlgren, "Optimal electricity supply bidding by Markov decision process," IEEE Trans. Power Syst., vol. 15, pp. 618-624, May 2000.
27. P. Skantze, M. Ilic, and J. Chapman, "Stochastic modeling of electric power prices in a multi-market environment," in Proc. Power Eng. Soc. Winter Meeting, Singapore, Jan. 2000.
28. B. Ramsay and A. J Wang, "An electricity spot-price estimator with particular reference to weekends and public holidays," in Proc. Univ. Power Eng. Conf. (UPEC'97), Manchester, U.K., Sept. 1997.
29. F. Gao, X. Guan, X.-R. Cao, and A. Papalexopoulos, "Forecasting power market clearing price and quantity using a neural network method," in Proc. Power Eng. Soc. Summer Meeting, vol. 4, Seattle, WA, July 2000, pp. 2183-2188.
30. B. R. Szkuta, L. A. Sanabria, and T. S. Dillon, "Electricity price short-term forecasting using artificial neural networks," IEEE Trans. Power Syst., vol. 14, pp. 851-857, Aug. 1999.
31. J. D. Nicolaisen, C. W. Richter Jr, and G. B. Sheblé, "Signal analysis for competitive electric generation companies," in Proc. Conf. Electric Utility Deregulation Restruct. Power Technol., London, U.K., Apr. 4-7, 2000.
32. F. J. Nogales, J. Contreras, A. J. Conejo, and R. Espínola, "Forecasting next-day electricity prices by time series models," IEEE Trans. Power Syst., vol. 17, pp. 342-348, May 2002.
33. G. E. P. Box, G. M. Jenkins, and G. C. Reinsel, Time Series Analysis, Forecasting and Control, Third ed. Englewood Cliffs, NJ: Prentice-Hall, 1994.
34. V. Guerrero, "Time-series analysis supported by power transformations," J. Forecasting, vol. 12, pp. 37-48, Jan. 1993.
35. A. W. Drake, Fundamentals of Applied Probability Theory. New York: McGraw-Hill, 1967.
36. GAMS/Cplex 7.5 User Notes, GAMS Development Corporation, Washington, DC, 2001.
37. P. J. Brockwell and R. A. Davis, Time Series: Theory and Methods, 2nd ed. New York: Springer-Verlag, 1991.
38. C. Wang and S. M. Shahidehpour, "Ramp-rate limits in unit commitment and economic dispatch incorporating rotor fatigue effect," IEEE Trans. Power Syst., vol. 9, pp. 1539-1545, May 1994.
39. J. M. Arroyo and A. J. Conejo, "Optimal response of a power generator to energy, AGC and reserve pool-based markets," IEEE Trans. Power Syst., vol. 17, pp. 404-410, May 2002.
40. T. S. Dillon, K. W. Edwin, H. D. Kochs, and R. J. Tand, "Integer programming approach to the problem of optimal unit commitment with probabilistic reserve determination," IEEE Trans. Power Apparat. Syst., vol. PAS-97, pp. 2154-2166, Nov./Dec. 1978.