Optimizing demand-side bids in day-ahead electricity markets


Andy Philpott and Erling Pettersen




We consider a purchaser of electricity, bidding into a wholesale electricity pool market that operates a day ahead of dispatch. The purchaser must arrange purchase for an uncertain demand that occurs the following day. Deviations from the day-ahead purchase are bought in a secondary market. We study conditions under which the retailer should bid their expected demand, and derive conditions on the optimal demand curve that they should bid if the behaviour of the other participants is unknown, but can be modelled by a market distribution function.