Journal of Industrial Engineering Research in Production Systems

Journal of Industrial Engineering Research in Production Systems

Modelling a Robust Bidding Strategy Problem for Price-Maker Gencos Considering the Uncertainty of Competitors' Bids

Document Type : Research Paper

Author
Amir Jalilvandnejad
Assistant Professor, Department of Industrial Engineering, Faculty of Technical and Engineering, Garmsar University, Garmsar, Iran
10.22084/ier.2024.5562
Abstract
Day-ahead power market is one of the most common electricity sales markets in deregulated electricity networks. Power generation companies (Gencos) need to submit a bid to participate in this market. This bid includes an output-price proposal staircase that shows the Gencos attitude to different levels of generation. The bidding strategy problem responds to this requirement of Gencos. In this paper, the bidding strategy problem has been studied from the perspective of price-maker Gencos as a bi-level programming problem where the first level includes a self-scheduling problem from the point of view of the Genco and the second level includes a market settlement problem from the perspective of the market operator. Hence, robust optimization has been used as a tool to deal with uncertainty. Due to the existence of uncertainty in the second level sub-problem and the importance of investigating its effects on the solution of the first level sub-problem, the problem has been reformulated as a single-level integrated model and Then, a robust optimization approach that can be used in the presence of correlation between uncertainty factors has been used. Finally, the performance of the proposed robust model has been evaluated during a Monte Carlo simulation process. The simulation results show that the robust model lead to solutions with lower profit compared to the deterministic model. However, due to increasing the chance of acceptance of a robust solution in the market settlement process, it increases the average profit of the strategic Genco in the long run.
Keywords
Day-ahead Market
Bidding Strategy
Robust Optimization
Correlation
Subjects
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Journal of Industrial Engineering Research in Production Systems
Volume 11, Issue 23
March 2024
Pages 5-19