December 2004

51
R. Rajaraman. “Optimal Bidding Strategies in Electricity Markets”
Nested Backward DP
•We want to optimize over time periods
ØThis involves a backward DP with time periods as stages
•We want to optimize among markets (energy and reserves)
ØThis is a backward DP with auction rounds as stages
•We want to our bids to be “biddable”
ØThis involves a backward DP where larger bids require larger prices (no downward transitions allowed)