Optimal bidding functions for renewable energies in sequential electricity markets

Abstract In most modern energy markets, electricity is traded in pay-as-clear auctions. Usually, multiple sequential markets with daily auctions, which each hourly product separately, coexist. market and for hour, power producer consumer submits price volume combinations, called bids. After all bids are submitted by the participants, market-clearing hour published, participants must fulfill their accepted commitments. The corresponding decision problem particularly difficult to solve stochastic supply or demand. We formulate trading as a dynamic program derive optimal bidding functions analytically via backward recursion. demonstrate that, market, function completely defined two While we focus on producers (e.g., wind solar), our model applicable consumers demand, well. policy liberalized virtually independent of structure underlying process.