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Strategic bidding under uncertainty using genetic algorithms

A. Mateo, E.F. Sánchez-Úbeda, A. Muñoz, J. Villar, A. Saiz-Chicharro, J.T. Abarca, E. Losada

This paper presents a new approach based on Genetic Algorithms (GA) to find the optimal bidding strategies of a market participant. Uncertainty about competitors behavior is included in our model, which incorporates risk management. Two uncertainty levels have been considered. The first one is used to weight nominal competitors behaviors (e.g. aggressive, conservative, etc). The second one represents small deviations around these nominal behaviors. A Probabilistic Residual Demand Lineal Function is defined and used to generate an arbitrary number of competitor behavior scenarios for each nominal strategy. Once scenarios are built, a GA is used to find the optimal bids. Each individual in the GA population is a bid curve. Its fitness is computed taken into account the profit and the risk the participant is willing to assume.


Palabras clave: Strategic Bidding, Competitive Markets, Genetic Algorithms, Risk Assessment, Automatic Learning, Data Mining

PMAPS2000: 6th International Conference on Probabilistic Methods Applied to Power Systems, , ISBN: 972-95194-1-2, Funchal, Madeira (Portugal). 25 septiembre 2000

Fecha de publicación: septiembre 2000.



Cita:
A. Mateo, E.F. Sánchez-Úbeda, A. Muñoz, J. Villar, A. Saiz-Chicharro, J.T. Abarca, E. Losada, Strategic bidding under uncertainty using genetic algorithms, PMAPS2000: 6th International Conference on Probabilistic Methods Applied to Power Systems, , ISBN: 972-95194-1-2. ISBN: 972-95194-1-2, Funchal, Portugal, 25-28 Septiembre 2000


    Líneas de investigación:
  • *Modelado, Simulación y Optimización
  • *Predicción y Análisis de Datos
  • *Programación de la Operación a Corto Plazo, Elaboración de Ofertas y Análisis de Reservas de Operación

IIT-00-051A

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