0507761 20240103222435.620190822235959.9 85075142837 10.11159/icert19.105 2 s. P cav_un_epca*0507775978-1-927877-62-32369-8128OntarioInternational ASET Inc.2019 Nash equilibria uncertainty Independent System Operator (ISO) cav_un_auth*0298685 25 Aussel D. FR cav_un_auth*0280972 25 Branda Martin UTIA-B Matematická teorie rozhodování Department of Decision Making Theory MTR MTR Department of Decision Making Theory CZ Ústav teorie informace a automatizace AV ČR, v. v. i. cav_un_auth*0015558 25 Henrion R. DE cav_un_auth*0234872 25 Pištěk Miroslav UTIA-B Matematická teorie rozhodování Department of Decision Making Theory MTR MTR Department of Decision Making Theory CZ K Ústav teorie informace a automatizace AV ČR, v. v. i. http://library.utia.cas.cz/separaty/2019/MTR/pistek-0507761.pdf cav_un_auth*0348851 GA17-08182S GA ČR cav_un_auth*0373104 GA18-04145S GA ČR CZ In this work, we are particularly focused on several sources of uncertainty in (pay-as-clear) electricity markets. To deal with stochastic demand we employ the so-called chance constrained formulations of the problem [1] of the ISO as well as the problem of each producer. In detail, the ISO minimizes the production cost using a value-at-risk (VaR) approach, thus hedging against discrepancies between estimated and real electricity demand. Similarly, in the day-ahead market, each producer is hedging against the uncertainty of his own prediction of the demand using VaR approach again. In such a setting we aim at determining the “best response” of a given producer, i.e. the bid maximizing its profit. cav_un_auth*0378928 World Congress on New Technologies (NewTech'19) /5./ 20190818 20190820 Lisabon PT BA 10000 10100 10101 2020 4 PO RVO:67985556 http://hdl.handle.net/11104/0298746 1 S 105 2019 85075142837 SCOPUS PUBMED WOS cav_un_epca*0507775 Proceedings of the 5th World Congress on New Technologies (NewTech'19) 978-1-927877-62-3 2369-8128 Ontario International ASET Inc. 2019