December 2004

23
R. Rajaraman. “Optimal Bidding Strategies in Electricity Markets”
Example 4: Effect of
Inter-temporal Constraints
•Single energy market
•
•Two periods
•
•Energy price forecast:
ØPeriod 1 price is either $33 or $45 with equal probability
ØPeriod 2 price is correlated with period 1 price:
oPeriod 1 price is $45 => Period 2 price is either $65 or $5 with equal probability
oPeriod 1 price is $33 => Period 2 price is either $65 or $5 with  probability 0.9 and 0.1 respectively
Ø