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

Madani, Mehdi; Vyve, Mathieu Van

doi:10.1016/j.ejor.2014.09.060

Cited by 51 publications

(54 citation statements)

References 11 publications

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“…it enforces equality of the total welfare with the total surplus (surplus minimization is the dual of welfare maximization). As a consequence of Theorem 2 of [49], constraint (16) guarantees that a solution to (15)-(21) will satisfy (i) complementary slackness between the acceptance of bids and the surplus for continuous bids and accepted block bids, as well as (ii) complementary slackness between exchanges and congestion prices.…”

Section: B Day-ahead Energy Market Clearingmentioning

confidence: 97%

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Renewable Energy Integration in Zonal Markets

Aravena

Papavasiliou

2016

IEEE Trans. Power Syst.

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In this paper we investigate the impact of zonal network management in the operation of power systems with significant levels of renewable energy integration. Our study is inspired by the current state of the European energy market, and we focus on a case study of the Central Western European (CWE) system. First, we present a hierarchy of models that account for unit commitment, the separation of energy and reserves, and the simplified representation of transmission constraints in a zonal market, in order to examine the impact of these factors on efficiency in a regime of large-scale renewable energy integration. Second, we simulate operations of the CWE system under the zonal market design using a detailed instance that consists of 656 thermal generators, 679 nodes and 1073 lines, with multiarea renewable energy production and 15-minute time resolution. Zonal market operations are compared against deterministic and stochastic unit commitment using high performance computing in order to tackle the scale of the resulting models. We find that market design can have an influence on cost efficiency which far exceeds the benefits of stochastic unit commitment relative to deterministic unit commitment. We conduct a detailed analysis of the numerical results in order to explain the relative performance of the different models.

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Section: B Day-ahead Energy Market Clearingmentioning

confidence: 97%

“…In the following we present an equivalent model of EUPHEMIA proposed by Madani and Van Vyve [49], which has been modified in order to account for exclusive groups.…”

Section: B Day-ahead Energy Market Clearingmentioning

confidence: 99%

Renewable Energy Integration in Zonal Markets

Aravena

Papavasiliou

2016

IEEE Trans. Power Syst.

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“…EMCC passed on its duty to its successor NorthWestern Europe (NWE) price coupling system (including countries Denmark, Finland, Norway, Sweden, Great Britain, Belgium, France, Germany, Luxemburg and the Netherlands) in February 2014. Finally, PCR project combined NWE and South-Western Europe (SWE) regions by using EUPHEMIA (Pan-European Hybrid Electricity Market Integration Algorithm) in May 2014 [25,24,9].…”

Section: Liberalization Of the Dutch Electricity Marketmentioning

confidence: 99%

Organization and functioning of liberalized electricity markets: An overview of the Dutch market

Tanrısever

Derinkuyu

Jongen

2015

Renewable and Sustainable Energy Reviews

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a b s t r a c tIn this paper, we examine the organization and the functioning of the Dutch electricity market. First we describe the organization of the Dutch electricity supply chain and the role of the main market participants including the transmission system operator, distribution system operators, program responsible parties and metering companies. We then describe the organization of financial trading and clearing mechanism of electricity through the organized futures exchange (The European Energy Derivatives Exchange), and the spot market (Amsterdam Power Exchange) which includes the day-ahead market and intra-day markets. We also detail the functioning of the imbalance market and reserve capacity management in the Netherlands.Through a set of numerical analysis, we provide an exploratory analysis of the APX day-ahead spot prices and the real-time imbalance prices using electricity price data from 2002 to 2013. We observe the price spikes both in the day-ahead and imbalance markets usually occur around 6-10 AM and 5-7 PM. We also observe that in the imbalance market system overages happen significantly more often than shortages pointing out that the market tends to buy more than what is demanded. This could be explained by the risk attitude of the market participants in the imbalance market.

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“…Block orders are meant to capture the non-convex unit commitment constraints associated with the operation of generators. Market clearing prices and cross-border trades are determined through the power exchange model, which is cast as a welfare maximization problem subject to complementarity constraints (Madani and Van Vyve, 2015). The power exchange uses a transportation model in order to represent the network, ignoring the physical constraints associated with Kirchhoff's laws.…”

Section: Day-ahead Market and Unit Commitmentmentioning

confidence: 99%