Battery Bidding under Price Uncertainty in Wholesale Electricity Markets
批发电力市场中价格不确定下的电池投标策略
Vincent Yinjun-Wang, Madeleine Udell
AI总结 针对批发电力市场中电池投标模式难以解释的问题,提出一个考虑价格不确定性和风险管理的资产级模型,通过线性规划重构实现实证分析,揭示策略性持留行为、不确定性对投标价格的影响以及风险管理对投标曲线结构的塑造作用。
详情
电网规模电池日益影响批发电力市场的结果,但其观察到的投标模式仍难以解释。特别是,看似反映策略性持留的投标可能源于价格不确定性和风险管理下的理性运营。我们开发了一个价格接受型电池的资产级模型,该电池在日前市场中根据有限的价格场景提交阶梯式买入和卖出投标曲线。电池选择数量-价格对,以在物理和市场约束下最大化均值-CVaR目标。直接公式化是一个混合整数线性规划,但我们证明其整数决策可以消除,从而得到一个适合实证分析的精确线性规划重构。我们的实证结果提供了三个见解。首先,即使没有市场势力,持留行为也可能出现,因为稀缺的存储能量和不确定的未来价格增加了持有能量的价值。其次,不确定性的影响取决于荷电状态:当存储能量稀缺时,更大的不确定性会提高卖出投标价格,而当存储能量充足时,则可能降低卖出投标价格。第三,风险管理将投标曲线重塑为分层结构,确保在广泛场景下盈利执行,同时保留对罕见但有价值的价格尖峰的部分暴露。
Grid-scale batteries increasingly influence outcomes in wholesale electricity markets, but their observed bid patterns remain difficult to interpret. In particular, bids that appear to reflect strategic withholding may instead arise from rational operations under price uncertainty and risk management. We develop an asset-level model of a price-taking battery that submits stepwise buy and sell bid curves in the day-ahead market under a finite set of price scenarios. The battery chooses quantity--price pairs to maximize a mean--CVaR objective subject to physical and market constraints. A direct formulation is a mixed-integer linear program, but we show that its integer decisions can be removed, yielding an exact linear programming reformulation suitable for empirical analysis. Our empirical results deliver three insights. First, withholding behavior can arise even without market power, because scarce stored energy and uncertain future prices increase the value of holding energy. Second, the effect of uncertainty depends on the state of charge: when stored energy is scarce, greater uncertainty raises sell bid prices, whereas when stored energy is abundant it can lower them. Third, risk management reshapes bid curves into layered structures that secure profitable execution across a broad set of scenarios while preserving some exposure to rare but valuable price spikes.