Abstract
This paper provides a technique to derive the bidding strategy in the day-ahead market of a large consumer that procures its electricity demand in both the day-ahead market and a subsequent adjustment market. Price uncertainty is modeled using concepts derived from information gap decision theory, which allows deriving robust decisions with respect to price volatility. Risk aversion is built implicitly within the proposed model. Correlations among prices in the day-ahead and the adjustment markets are properly modeled. The proposed technique is illustrated through a realistic case study.
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