Agent-based simulation is widely applied in modeling generators'' bid behavior and analyzing market dynamics in electricity markets. A generator agent’s profit depends on market price and scheduled dispatch quantity, both of which are uncertain due to competition among generators and demand fluctuation. An agent model with risk consideration is proposed where risk with respect to a bid action is measured as standard deviation or VaR of the profit obtained after performing the action. Instead of solely expected return, the weighted sum of expected return and risk is thereby defined as a bid action’s value based on which actions are evaluated and selected. The model is applied to market simulation with discriminatory pricing and uniform pricing rules. Our experiment demonstrated that uniform pricing leads to higher variance in market price than discriminatory pricing when demand is high and uncertain.
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