Offering Strategy Via Robust Optimization

This paper provides a technique to build hourly offering curves for a price-taker producer participating in a pool. The technique relies on solving a sequence of robust mixed-integer linear programming problems. Instead of using price predictions as input data, price confidence intervals are considered. These intervals are successively divided into a sequence of nested subintervals, which allow formulating a collection of meaningful and easy-to-solve robust mixed-integer linear programming problems. The solutions of these problems provide adequate information to build hourly offering curves.