A Dynamic Risk-Constrained Bidding Strategy for Generation Companies Based on Linear Supply Function Model

作者：Ansari Bananeh^*; Rahimi Kian Ashkan

来源：IEEE Systems Journal, 2015, 9(4): 1463-1474.

DOI：10.1109/JSYST.2015.2427374

• Bidding strategy
• dynamic programming (DP)
• pool-based electricity market
• risk management
• supply function model

A risk-constrained bidding model for generation companies (GenCos) competing in a pool-based electricity market is presented in this paper. In the proposed model, it is assumed that GenCos submit linear supply functions to the market operator. The intercept of the supply function is the decision variable to be optimized during the strategic bidding process by the GenCo. The model takes into account the uncertainties in system demand and uses mean-variance portfolio theory to assess and manage the players' risk. Moreover, electricity market dynamics are modeled assuming boundedly rational GenCos. The strategic bidding process is then formulated as an optimal control problem and solved using a dynamic programming algorithm. A real-time adaptive feedback is also added to the bidding model to manage the congestion situations. Finally, the proposed bidding scheme is applied to two different case studies, and the simulated results are analyzed and compared with those in some similar research studies.

• 出版日期2015-12