Learning From Past Bids to Participate Strategically in Day-Ahead Electricity Markets
| العنوان: | Learning From Past Bids to Participate Strategically in Day-Ahead Electricity Markets |
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| المؤلفون: | Michael C. Caramanis, Ruidi Chen, Ioannis Ch. Paschalidis, Panagiotis Andrianesis |
| المصدر: | IEEE Transactions on Smart Grid. 10:5794-5806 |
| بيانات النشر: | Institute of Electrical and Electronics Engineers (IEEE), 2019. |
| سنة النشر: | 2019 |
| مصطلحات موضوعية: | 021103 operations research, General Computer Science, business.industry, 020209 energy, Market clearing, Profit maximization, 0211 other engineering and technologies, TheoryofComputation_GENERAL, 02 engineering and technology, Bidding, Profit (economics), Network congestion, Microeconomics, symbols.namesake, Optimization and Control (math.OC), Nash equilibrium, FOS: Mathematics, 0202 electrical engineering, electronic engineering, information engineering, symbols, Inverse optimization, Electricity, business, Mathematics - Optimization and Control |
| الوصف: | We consider the process of bidding by electricity suppliers in a day-ahead market context, where each supplier bids a linear non-decreasing function of her generating capacity with the goal of maximizing her individual profit given other competing suppliers’ bids. Based on the submitted bids, the market operator schedules suppliers to meet demand during each hour and determines hourly market clearing prices. Eventually, this game-theoretic process reaches a Nash equilibrium when no supplier is motivated to modify her bid. However, solving the individual profit maximization problem requires information of rivals’ bids, which are typically not available. To address this issue, we develop an inverse optimization approach for estimating rivals’ production cost functions given historical market clearing prices and production levels. We then use these functions to bid strategically and compute Nash equilibrium bids. We present numerical experiments illustrating our methodology, showing good agreement between bids based on the estimated production cost functions with the bids based on the true cost functions. We discuss an extension of our approach that takes into account network congestion resulting in location-dependent prices. |
| تدمد: | 1949-3061 1949-3053 |
| URL الوصول: | https://explore.openaire.eu/search/publication?articleId=doi_dedup___::37da19a41e7b901db378670e62261f51 https://doi.org/10.1109/tsg.2019.2891747 |
| حقوق: | OPEN |
| رقم الأكسشن: | edsair.doi.dedup.....37da19a41e7b901db378670e62261f51 |
| قاعدة البيانات: | OpenAIRE |
| تدمد: | 19493061 19493053 |
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