Risk-Aware Battery Bidding With a Novel Benchmark Selection Under Second-Order Stochastic Dominance

This paper studies the risk management of a battery bidding in both day-ahead and intraday markets arising from uncertain nature electricity prices. To this end, coherent measure, Second-order Stochastic Dominance (SSD), which is capable expressing preferences form preset fixed benchmark (profit), incorporated into model. The SSD serves decision-maker as risk-averse optimizer exploring for profit distribution members greater than benchmark. most challenging facet SSD-constrained methodologies how to effectually define In regard, first, generic approach offered find feasible region selection optimization problems. Then, novel technique considering decision-maker's regret out-of-sample profit, leverages VIKOR method get ranking different solutions compromise risk-aware environment. Consequently, two decisive criteria ex- ante xmlns:xlink="http://www.w3.org/1999/xlink">post tests are involved procedure, making problem regret- consequence-aware. numerical results developed methodology against risk-neutral deterministic approaches show efficiency proposed