December 2004

58
R. Rajaraman. “Optimal Bidding Strategies in Electricity Markets”
GenOptimizer Execution
•Backward Dynamic Programming determines the optimal strategy in every time period, generator dispatch state, and price level
ØTakes account of price uncertainty
ØTakes account of all operational constraints
•
•Monte Carlo algorithm used to evaluate the performance of the optimal commitment strategy in the face of price volatility.
•
•Finds the optimal energy and reserve dispatches for given price levels
•