Optimal bidding in multiperiod day-ahead electricity markets assuming non-uniform uncertainty of clearing prices

Abstract

In a recent publication, using a simple two-period model, which is already capable to capture essential non-convex multiperiod bids, Richstein et al. have shown that in the case of optimal bidding, multi-part bidding always ensures a higher expected profit for the bidder, compared to simple bidding and block-bidding. The model proposed in their analysis assumes a uniform distribution of the market-clearing prices in both periods. In this paper, we study how the conclusions of the analysis are affected, if a very simple, symmetric, stepwise-constant but non-uniform distribution is assumed in the case of the market-clearing price. We show that the results of Richstein et al. also hold in this case.