Bidding strategies in dynamic electricity markets

The optimal bidding strategies are developed mathematically using dynamic game theory. We deal with games that are non-linear in the state equations. We linearize these equations for complex non-linear oligopolistic electricity multi-markets and use discrete-time Nash strategies. We show that the actual dynamic excursions from the operating point where we linearize are small so that the linearization is valid. The developed algorithm is applied to an IEEE 14-bus power system. We show that the LSEs' expected profits are higher for our method than those for other methods in the literature (F. Wen, A.K. David, Optimal bidding strategies and modeling of imperfect information among competitive generators. IEEE Transactions on Power Systems, Vol. 16, No. 1, pp.15-21, Feb. 2001.