December 2004

53
R. Rajaraman. “Optimal Bidding Strategies in Electricity Markets”
Energy-limited hydro
•Two periods/rounds
•100 MWh in reservoir
•No new water
•Must use all water
•Single price auction
•Sequential clearing
•Unrestricted bids
•50 MW “chunks”
•Correlated prices
•Optimal strategy:
•Period 1: bid 100 MW if price is LOW and 0 MW if price is HIGH
•Period 2: bid remainder at LOW
Fill these two tables
working “backwards”
Optimal profits
Optimal dispatch
Prices
Optimal profits for period 1, state is FULL
Expected profits if “full”: $3000