Risk management of generators´ strategic bidding in dynamic oligopolistic electricity market using optimal control

Here, the risk-constrained generation decision in a dynamic oligopolistic electricity market using stochastic optimal control is studied. In this formulation, the generation competition process is modelled as a dynamic feedback system, taking into account the system demand variation and generators´ adaptive behaviours. Using the proposed framework, the risk-constrained strategic bidding is investigated with stochastic optimal control. Two common methods of risk management are discussed: the min-max regret technique and the mean-variance technique. It is found that the risk-constrained decision always results in less generation