Montag, 13. November 2017, 16:45 - 17:45 iCal

ISOR Colloquium

"Strategic Bidding for a Price-Maker Hydroelectric Producer

(joint work with Gregory Steeger and Timo Lohmann)"

Speaker: Steffen Rebennack (KIT, Karlsruhe)

Sky Lounge OMP1, 12th floor
Oskar-Morgenstern-Platz 1, 1090 Wien


In bid-based markets, energy producers seek bidding strategies that maximize their revenue. In this talk, we seek the maximum-revenue bidding schedule for a single price-maker hydroelectric producer. We assume the producer sells energy in the day-ahead electricity market and has the

ability to impact the market-clearing price with its bids. Our approach models the price-maker hydroelectric producer’s bidding decision via a combination of Stochastic Dual Dynamic Programming and Lagrangian relaxation. In this framework, we dualize the water balance equations, allowing an exact representation of the non-concave immediate revenue function, while preserving the concave shape of the future revenue function. We model inflow uncertainty and its stagewise dependence by a periodic autoregressive model. To demonstrate our approaches’ utility, we model Honduras’ electricity market assuming that the thermal producers act as price takers and that one price-maker hydro producer operates all of the hydroelectric plants.

Zur Webseite der Veranstaltung


Institut für Statistik und Operations Research


Mag. Vera Lehmwald
Fakultät für Wirtschaftswissenschaften
Institut für Statistik und Operations Research
+43 1 4277 38651