Developing Robust Bidding Strategy for Virtual Bidders in Day-Ahead Electricity Markets

Purely financial players without any physical assets can participate in day-ahead electricity markets as virtual bidders. They arbitrage the price difference between (DA) and real-time (RT) to maximize profits. Virtual bidders encounter various monetary risks uncertainties their decision-making due high volatility of difference. Therefore, this paper proposes a max-min two-level optimization model derive optimal bidding strategy In model, associated with rivals’ strategies RT market prices are managed by robust optimization. The proposed is turned into single-level mixed integer linear programming through duality theory (DT), strong (SDT), Karush-Kuhn-Tucker (KKT) conditions. An illustrative case designed demonstrate advantages over deterministic model. Moreover, studies on IEEE 24-bus test system validate applicability