Bid Strategy under Price Uncertainty

The paper presents an algorithm for electricity market participant to obtain optimal bid under price uncertainty. The model is based on the known probability density functions of forecast prices. The problem is to estimate the parameters of blocks - values of power and their corresponding prices. The objective function is an expected value of profit for selling energy. The stochastic market clearing prices only affects the objective function, and particularly, the term corresponding to revenues. The parameters of blocks are interconnected by probability function. To determine required values the recurrent optimization procedure is developed. The criterion of procedure interruption is the required number of stairs in bidding function.