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Developing Robust Bidding Strategy For Virtual Bidders In Day-Ahead Electricity Markets, Hossein Mehdipourpicha, Siyuan Wang, Rui Bo
Developing Robust Bidding Strategy For Virtual Bidders In Day-Ahead Electricity Markets, Hossein Mehdipourpicha, Siyuan Wang, Rui Bo
Electrical and Computer Engineering Faculty Research & Creative Works
Purely financial players without any physical assets can participate in day-Ahead electricity markets as virtual bidders. They can arbitrage the price difference between day-Ahead (DA) and real-Time (RT) markets to maximize profits. Virtual bidders encounter various monetary risks and uncertainties in their decision-making due to the high volatility of the price difference. Therefore, this paper proposes a max-min two-level optimization model to derive the optimal bidding strategy of virtual bidders. In this model, the risks of uncertainties associated with the rivals' strategies and RT market prices are managed by robust optimization. The proposed max-min two-level model is turned into a …
Optimal Bidding Strategy For Physical Market Participants With Virtual Bidding Capability In Day-Ahead Electricity Markets, Hossein Mehdipourpicha, Rui Bo
Optimal Bidding Strategy For Physical Market Participants With Virtual Bidding Capability In Day-Ahead Electricity Markets, Hossein Mehdipourpicha, Rui Bo
Electrical and Computer Engineering Faculty Research & Creative Works
Virtual bidding provides a mechanism for financial players to participate in wholesale day-ahead (DA) electricity markets. The price difference between DA and real-time (RT) markets creates financial arbitrage opportunities for financial players. Physical market participants (MP), referred to as participants with physical assets, can also take advantage of virtual bidding but in a different way, which is to further amplify the value of their physical assets. Therefore, this work proposes a model for such physical MPs to maximize the profits. This model employs a bi-level optimization approach, where the upper-level subproblem maximizes the total profit from both physical generations and …