  We propose a new Robust Optimization method for the energy offering problem
of a price-taker generating company that wants to build offering curves for its
generation units, in order to maximize its profit while taking into account the
uncertainty of market price. Our investigations have been motivated by a
critique to another Robust Optimization method proposed in [Baringo and Conejo,
2011], which entails the solution of a sequence of robust optimization problems
imposing full protection and defined over a sequence of nested subintervals of
market prices: this method presents a number of issues that may severely limit
its application and computational efficiency in practice and that may expose a
company to the risk of presenting offering curves resulting into suboptimal or
even infeasible accepted offers. To tackle all such issues, our method provides
for solving one single robust counterpart, considering an intermediate level of
protection between null and full protection, and to make energy offers at zero
price, practically eliminating the risk of non-acceptance. Computational
results on instances provided by our industrial partners show that our new
method is able to grant a great improvement in profit.
