🤖 AI Summary
This paper investigates the multi-period optimal bidding problem in day-ahead electricity markets, specifically examining whether multi-part bids remain superior to simple and block bids when market clearing prices follow a symmetric, piecewise-constant (non-uniform) distribution. Departing from prior work—such as Richstein et al.’s assumption of uniform price distributions across two periods—this study generalizes price uncertainty to a more realistic non-uniform step-function distribution and conducts analytical derivation and comparative statics within a two-period reduced-form model. Theoretical results demonstrate that multi-part bids still yield higher expected profit under this non-uniform setting, confirming their robustness and practical relevance. The key contribution is the first theoretical extension of the multi-part bid advantage from the uniform to the broader class of symmetric piecewise-constant distributions, thereby strengthening the real-world interpretability and policy relevance of the findings.
📝 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.