Computationally efficient MIP formulation and algorithms for European day-ahead electricity market auctions

DOI10.1016/j.ejor.2014.09.060zbMath1341.90092OpenAlexW2082694111MaRDI QIDQ2630112

Mehdi Madani, Mathieu Van Vyve

Publication date: 25 July 2016

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.ejor.2014.09.060

zbMATH Keywords

integer programmingOR in energylarge scale optimizationauctions/bidding

Mathematics Subject Classification ID

Mixed integer programming (90C11) Financial applications of other theories (91G80) Auctions, bargaining, bidding and selling, and other market models (91B26)

Related Items (9)

On the determination of European day ahead electricity prices: the Turkish case ⋮ Strategic bidding in price coupled regions ⋮ A MIP framework for non-convex uniform price day-ahead electricity auctions ⋮ Walrasian equilibria from an optimization perspective: A guide to the literature ⋮ Global solution of non-convex quadratically constrained quadratic programs ⋮ Revisiting minimum profit conditions in uniform price day-ahead electricity auctions ⋮ Practically Efficient Secure Single-Commodity Multi-market Auctions ⋮ Extensions for Benders cuts and new valid inequalities for solving the European day-ahead electricity market clearing problem efficiently ⋮ Core Pricing in Combinatorial Exchanges with Financially Constrained Buyers: Computational Hardness and Algorithmic Solutions

Uses Software

• COSMOS
• AIMMS

Cites Work

• Efficient market-clearing prices in markets with nonconvexities
• Equilibrium prices supported by dual price functions in markets with non-convexities
• Block order restrictions in combinatorial electric energy auctions
• A new pricing scheme for a multi-period pool-based electricity auction
• Partitioning procedures for solving mixed-variables programming problems
• Semi-Lagrangean approach for price discovery in markets with non-convexities
• Duality in quadratic programming
• Duality in Nonlinear Programming: A Simplified Applications-Oriented Development
• Strict linear prices in non-convex European day-ahead electricity markets
• Equilibrium among Spatially Separated Markets: Solution by Electric Analogue
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