Abstract
An optimal bidding model of controllable loads is proposed to minimize the worst-case conditional expectation of electricity purchase cost simultaneously in day-ahead and real-time markets. By reformulating the worst-case conditional value-at-risk (CVaR) constraints, a solvable semi-definite program (SDP) is presented to relax the moment uncertainty of electricity price and simultaneously determine the optimal day-ahead bid and real-time increment/decrement bid.
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