  Renewable energy generation is offered through electricity markets, quite
some time in advance. This then leads to a problem of decision-making under
uncertainty, which may be seen as a newsvendor problem. Contrarily to the
conventional case for which underage and overage penalties are known, such
penalties in the case of electricity markets are unknown, and difficult to
estimate. In addition, one is actually only penalized for either overage or
underage, not both. Consequently, we look at a slightly different form of a
newsvendor problem, for a price-taker participant offering in electricity
markets, which we refer to as Bernoulli newsvendor problem. After showing that
its solution is consistent with that for the classical newsvendor problem, we
then introduce distributionally robust versions, with ambiguity possibly about
both the probabilistic forecasts for power generation and the chance of success
of the Bernoulli variable. Both versions of the distributionally robust
Bernoulli newsvendor problem admit closed-form solutions. We finally use
simulation studies, as well as a real-world case-study application, to
illustrate the workings and benefits from the approach.
