Robust Virtual Bidding in the Two-Settlement Electricity Market

Virtual bidding exploits arbitrage opportunities, and it is gaining popularity in the wholesale electricity market. Classic virtual bidding aims to ensure overall profitability over a specified period, where bidders might suffer huge losses before reaching the end of the period, prohibiting bidders from opting out at any time. To this end, we propose a model to ensure the profit at each time slot, termed as risk trajectory control (RTC). Specifically, we incorporate price uncertainty into the RTC, yielding the probabilistic RTC formulation. We adopt the notion of statistical feasibility to design an efficient algorithm. Then, by integrating domain knowledge with uncertainty set construction, we develop a robust sample-based approach to ensure profit at each time slot with a statistically feasible guarantee. Numerical studies highlight the effectiveness of our proposed method.