Minimizing opportunity costs of paradoxically rejected block orders in European day-ahead electricity markets

Madani, Mehdi; Vyve, Mathieu Van

doi:10.1109/eem.2014.6861237

Cited by 12 publications

(17 citation statements)

References 3 publications

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“…OTM block orders must be always rejected. Notice that, the indivisible nature of regular block orders may prevent the existence of an optimal market equilibrium, i.e., the clearing problem may result infeasible [19,20]. For this reason, current market rules allow to reject ITM block orders [13].…”

Section: Block Ordersmentioning

confidence: 99%

“…Reference [27] proposes a primal-dual formulation of the market clearing problem, where an improved Benders-like decomposition method is further introduced to strengthen the classical Benders cuts, which is extended in [28]. In [19] a clearing method to minimize the impact of PRBs on the final solution is proposed. Reference [29] introduces a bilevel approach to handle regular block orders in a single-zone market where block order surpluses are explicitly considered.…”

Section: Literature Reviewmentioning

confidence: 99%

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A new approach to electricity market clearing with uniform purchase price and curtailable block orders

et al. 2018

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The European market clearing problem is characterized by a set of heterogeneous orders and rules that force the implementation of heuristic and iterative solving methods. In particular, curtailable block orders and the uniform purchase price pose serious difficulties. A block order spans over multiple hours, and can be either fully accepted or fully rejected. The uniform purchase price prescribes that all consumers pay a common price in all the zones, while producers receive zonal prices, which can differ from one zone to another.The market clearing problem in the presence of both the uniform purchase price and block orders is a major open issue in the European context. The uniform purchase price scheme leads to a non-linear optimization problem involving both primal and dual variables, whereas block orders introduce multi-temporal constraints and binary variables into the problem. As a consequence, the market clearing problem in the presence of both block orders and the uniform purchase price can be regarded as a non-linear integer programming problem involving both primal and dual variables with complementary and multi-temporal constraints.The aim of this paper is to present a non-iterative and heuristic-free approach for solving the market clearing problem in the presence of both curtailable block orders and the uniform purchase price scheme. The solution is exact, with no approximation up to the level of resolution of current market data. By resorting to an equivalent uniform purchase price formulation, the proposed approach results in a mixed-integer linear program, which is built starting from a non-linear integer bilevel programming problem. Numerical results using real market data are reported to show the effectiveness of the proposed approach. The model has been implemented in Python, and the code is freely available on a public repository.

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Section: Block Ordersmentioning

confidence: 99%

Section: Literature Reviewmentioning

confidence: 99%

A new approach to electricity market clearing with uniform purchase price and curtailable block orders

et al. 2018

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“…We use here a toy example ( [4]) illustrating two key points. First, a market equilibrium may not exist in the presence of indivisible orders.…”

Section: Uniform Prices and Price-based Decisions In The Cwe Region: mentioning

confidence: 99%

“…Lemma 1 (Economic interpretation of d a , d r [4]). Take a pair of points (x, y, u, n) and (s, π l,t , d a , d r , du a , du r ) respectively satisfying primal conditions (2)- (13) and dual conditions (15)-(22), such that complementarity constraints (23)-(37) are satisfied.…”

Section: Duality Uniform Prices and Opportunity Costsmentioning

confidence: 99%

“…They illustrate the efficiency of the approach, as well as the economics trade-offs that may occur in practice.An extensive literature now exists on non-convex day-ahead electricity markets or electricity pools, dealing in particular with market equilibrium issues in the presence of indivisibilities, see e.g. [3,4,5,11,10,13,14,15] and references therein. Research on the topic has been fostered by the ongoing liberalization and integration of electricity markets around the world during the past two decades.…”

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

Madani¹,

Vyve²

2017

EURO Journal on Computational Optimization

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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, uniformprice 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.An extensive literature now exists on non-convex day-ahead electricity markets or electricity pools, dealing in particular with market equilibrium issues in the presence of indivisibilities, see e.g. [3,4,5,11,10,13,14,15] and references therein. Research on the topic has been fostered by the ongoing liberalization and integration of electricity markets around the world during the past two decades. As electricity cannot be efficiently stored, non-convexities of production sets cannot be neglected, and bids introducing non-convexities in the mathematical formulation of the market clearing problem have been proposed for many years by most of power exchanges or electricity pools, allowing participants to reflect more accurately their operational constraints and cost structure.It is now well known that due to these non-convexities, a market equilibrium with uniform prices may fail to exist (a single price per market area and time slot, no transfer payments, no losses incurred, and no excess demand nor excess supply for the given uniform market prices). To deal with this issue, almost all ideas proposed revolve around reaching back, or getting close to a convex situation where strong duality holds and shadow prices exist. For example, a now classic proposition in [11] is to fix integer variables to optimal values for a welfare maximizing primal program whose constraints describe physically feasible dispatches of electricity, and compute multipart equilibrium prices using dual variables of these fixing constra...

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Electricity Markets in Europe

Möst

Fïchtner

2022

Springer Texts in Business and Economics

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Minimizing opportunity costs of paradoxically rejected block orders in European day-ahead electricity markets

Cited by 12 publications

References 3 publications

A new approach to electricity market clearing with uniform purchase price and curtailable block orders

A new approach to electricity market clearing with uniform purchase price and curtailable block orders

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

Electricity Markets in Europe

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