A MIP framework for non-convex uniform price day-ahead electricity auctions
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Publication:2397767
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.
Recommendations
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Cites work
- Block order restrictions in combinatorial electric energy auctions
- Computationally efficient MIP formulation and algorithms for European day-ahead electricity market auctions
- Efficient market-clearing prices in markets with nonconvexities
- Electricity market near-equilibrium under locational marginal pricing and minimum profit conditions
Cited in
(6)- Strict linear prices in non-convex European day-ahead electricity markets
- Extensions for Benders cuts and new valid inequalities for solving the European day-ahead electricity market clearing problem efficiently
- Block order restrictions in combinatorial electric energy auctions
- Revisiting minimum profit conditions in uniform price day-ahead electricity auctions
- Efficient market-clearing prices in markets with nonconvexities
- Computationally efficient MIP formulation and algorithms for European day-ahead electricity market auctions
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