Revealing Rival Marginal Offer Prices Via Inverse Optimization Articles uri icon

publication date

  • August 2013

start page

  • 3056

end page

  • 3064

issue

  • 3

volume

  • 28

international standard serial number (ISSN)

  • 0885-8950

electronic international standard serial number (EISSN)

  • 1558-0679

abstract

  • We consider a strategic producer that trades its energy in a multi-period network-constrained electricity pool and, for strategic reasons, is interested in identifying its rival producers' offer prices. Considering industry practice, we assume that the strategic producer has knowledge of the daily market outcomes, i.e., energy quantities sold/bought and resulting locational marginal prices (LMPs) for each time period and all nodes of the network. Using this information we formulate an inverse optimization problem that allows estimating the rival producers' offer prices that have been marginal at any of the time periods under study. Such problem is well behaved, effectively identifies rival offer prices and can be efficiently solved. The effectiveness of the proposed technique is illustrated through a simple example and a realistic case study.

keywords

  • electricity pool; inverse optimization; linear pro-gramming; marginal prices; market clearing