A MIP framework for non-convex uniform price day-ahead electricity auctions

DOI10.1007/S13675-015-0047-6zbMATH Open1368.90116arXiv1410.4468OpenAlexW2151848351MaRDI QIDQ2397767FDOQ2397767

Authors: Mehdi Madani, Mathieu Van Vyve 

Publication date: 23 May 2017

Published in: EURO Journal on Computational Optimization (Search for Journal in Brave)

Abstract: It is well-known that a market equilibrium with uniform prices often does not exist in non-convex day-ahead electricity auctions. We consider the case of the non-convex, uniform-price Pan-European day-ahead electricity market "PCR" (Price Coupling of Regions), with non-convexities arising from so-called complex and block orders. Extending previous results, we propose a new primal-dual framework for these auctions, which has applications in both economic analysis and algorithm design. The contribution here is threefold. First, from the algorithmic point of view, we give a non-trivial exact (i.e. not approximate) linearization of a non-convex 'minimum income condition' that must hold for complex orders arising from the Spanish market, avoiding the introduction of any auxiliary variables, and allowing us to solve market clearing instances involving most of the bidding products proposed in PCR using off-the-shelf MIP solvers. Second, from the economic analysis point of view, we give the first MILP formulations of optimization problems such as the maximization of the traded volume, or the minimization of opportunity costs of paradoxically rejected block bids. We first show on a toy example that these two objectives are distinct from maximizing welfare. We also recover directly a previously noted property of an alternative market model. Third, we provide numerical experiments on realistic large-scale instances. They illustrate the efficiency of the approach, as well as the economics trade-offs that may occur in practice.

Full work available at URL: https://arxiv.org/abs/1410.4468

Recommendations

• Strict linear prices in non-convex European day-ahead electricity markets
• Computationally efficient MIP formulation and algorithms for European day-ahead electricity market auctions
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zbMATH Keywords

market couplingmixed integer programmingnon-convexitiesequilibrium pricesday-ahead electricity market auctions

Mathematics Subject Classification ID

Large-scale problems in mathematical programming (90C06) Computational methods for problems pertaining to operations research and mathematical programming (90-08) Mixed integer programming (90C11)

Cites Work

• Electricity market near-equilibrium under locational marginal pricing and minimum profit conditions
• Efficient market-clearing prices in markets with nonconvexities
• Block order restrictions in combinatorial electric energy auctions
• Computationally efficient MIP formulation and algorithms for European day-ahead electricity market auctions

Cited In (4)

• Extensions for Benders cuts and new valid inequalities for solving the European day-ahead electricity market clearing problem efficiently
• Efficient market-clearing prices in markets with nonconvexities
• Block order restrictions in combinatorial electric energy auctions
• Revisiting minimum profit conditions in uniform price day-ahead electricity auctions

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