Uncertainty Quantification in a Model Electric Energy Bidding Problem: a Multi-criteria Decision Making Approach

This paper explores a wide range of different decision criteria for the bidding problem when severe uncertainty about inputs requires expressing them as bounded families of distributions. A GENCO maximizes its expected returns given its own risk profile and its perception of market risks. This can be formulated as a multicriteria optimization problem. The set of different decision criteria examined illustrates the variety of different approaches possible, the different conclusions these approaches produce, and the bidder’s need to understand goals and information availability in order to rationally decide on a bid to best meet the goals of the organization. This paper highlights the different possible decision criteria and uses Analytic Hierarchy Process to determine the highest priority bid based on qualitative and quantitative analyses.