Risk-Constrained Bidding Strategy of Electric Power Producers Based on Historical Bidding Data

This paper analyzes the historical data of power bidding with econometrics method, and simulates the uncertainty of bidding market into logistic distribution. Based on the results, the risk-constrained power bidding strategy model is proposed by using the CVaR method. Finally, the simulation results of the model show that the equilibrium bid is the lower limit governed by market rule to risk-averse power producer, and the optimal bid is greater than the lower limit to risk-preference one.