Bidding analysis in joint energy and spinning reserve markets based on pay-as-bid pricing

Owing to the interaction between energy and spinning reserve markets, designing proper bid functions and offering optimal prices to these markets is economically a challenging task from generation companies (GenCos) point of view, especially in the pay-as-bid pricing mechanism. A previously presented only-energy bidding method is generalised in order to model and solve a multimarket bidding problem. Considering a joint probability distribution function for energy and spinning reserve prices, the bidding problem is formulated and solved as a classic optimisation problem. The results show that the contribution of GenCos in each market strongly depends on their production costs, GenCo's risk-aversion degree and the mean values of market prices.

[1]  Derk J. Swider,et al.  Simultaneous bidding in day-ahead auctions for spot energy and power systems reserve , 2007 .

[2]  R. Musmanno,et al.  Managing Price Risk while bidding in a Multimarket Environment , 2007, 2007 IEEE Power Engineering Society General Meeting.

[3]  Tapan Biswas.  Decision-Making under Uncertainty , 1997 .

[4]  Eiichi Tanaka,et al.  New bidding strategy formulation for day-ahead energy and reserve markets based on evolutionary programming , 2005 .

[5]  Morteza Rahimiyan,et al.  Supplier's optimal bidding strategy in electricity pay-as-bid auction: Comparison of the Q-learning and a model-based approach , 2008 .

[6]  Javad Sadeh,et al.  A risk-based approach for bidding strategy in an electricity pay-as-bid auction , 2009 .

[7]  H. Haghighat,et al.  Gaming analysis in joint energy and spinning reserve markets , 2007, 2008 IEEE Power and Energy Society General Meeting - Conversion and Delivery of Electrical Energy in the 21st Century.

[8]  S.-J. Deng,et al.  Optimal Scheduling of Hydro-Electric Power Generation with Simultaneous Participation in Multiple Markets , 2006, 2006 IEEE PES Power Systems Conference and Exposition.

[9]  D. J. Swider,et al.  Extended ARMA models for estimating price developments on day-ahead electricity markets , 2007 .

[10]  Soodabeh Soleymani,et al.  New approach for strategic bidding of Gencos in energy and spinning reserve markets , 2007 .

[11]  Zuyi Li,et al.  Market Operations in Electric Power Systems : Forecasting, Scheduling, and Risk Management , 2002 .

[12]  Fushuan Wen,et al.  Coordination of bidding strategies in day-ahead energy and spinning reserve markets , 2002 .

[13]  A. David,et al.  Optimally co-ordinated bidding strategies in energy and ancillary service markets , 2002 .