Revealing Rival Marginal Offer Prices Via Inverse Optimization

We consider a strategic producer that trades its energy in a multi-period network-constrained electricity pool and, for strategic reasons, is interested in identifying its rival producers' offer prices. Considering industry practice, we assume that the strategic producer has knowledge of the daily market outcomes, i.e., energy quantities sold/bought and resulting locational marginal prices (LMPs) for each time period and all nodes of the network. Using this information we formulate an inverse optimization problem that allows estimating the rival producers' offer prices that have been marginal at any of the time periods under study. Such problem is well behaved, effectively identifies rival offer prices and can be efficiently solved. The effectiveness of the proposed technique is illustrated through a simple example and a realistic case study.