Multimarket optimal bidding for a power producer

This paper considers a profit-maximizing thermal producer that participates in a sequence of spot markets, namely, day-ahead, automatic generation control (AGC), and balancing markets. The producer behaves as a price-taker in both the day-ahead market and the AGC market but as a potential price-maker in the volatile balancing market. The paper provides a stochastic programming methodology to determine the optimal bidding strategies for the day-ahead market. Uncertainty sources include prices for the day-ahead and AGC markets and balancing market linear price variations with the production of the thermal producer. Results from a realistic case study are reported and analyzed. Conclusions are duly drawn.The work of A. J. Conejo was supported in part by the Ministry of Science and Education of Spain under CICYT Project DPI2003-01362 and in part by Junta de Comunidades de Castilla-La Mancha under Project GC-02-006.Publicad