Optimal bidding in multiperiod day-ahead electricity markets assuming non-uniform uncertainty of clearing prices

Dávid Csercsik; Mihály András Vághy

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arXiv · 2510.07025

Optimal bidding in multiperiod day-ahead electricity markets assuming non-uniform uncertainty of clearing prices

Dávid Csercsik·Mihály András Vághy

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Abstract

In a recent publication, using a simple two-period model, which is already capable to capture essential non-convex multiperiod bids, Richstein et al. have shown that in the case of optimal bidding, multi-part bidding always ensures a higher expected profit for the bidder, compared to simple bidding and block-bidding. The model proposed in their analysis assumes a uniform distribution of the market-clearing prices in both periods. In this paper, we study how the conclusions of the analysis are affected, if a very simple, symmetric, stepwise-constant but non-uniform distribution is assumed in the case of the market-clearing price. We show that the results of Richstein et al. also hold in this case.

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Dávid Csercsik, Mihály András Vághy. 2025-10-08. Optimal bidding in multiperiod day-ahead electricity markets assuming non-uniform uncertainty of clearing prices. https://arxiv.org/abs/2510.07025

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