Non-convexities in European day-ahead electricity markets: Belgium as a case study

Madani, Mehdi; Vyve, Mathieu Van; Marien, Alain; Maenhoudt, M.; Luickx, Patrick; Tirez, Andreas

doi:10.1109/eem.2016.7521190

Cited by 8 publications

(18 citation statements)

References 5 publications

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“…The first approach to address these problems has been the introduction of so-called block orders [10], which connect multiple bids submitted for various periods and they must be fully accepted or rejected in all of the respective periods (in other words, they are characterized by the 'fill-or-kill' condition). These bids imply non-convexities (integer variables) in the market clearing problem [11], making the efficient clearing of large scale markets challenging [12]. To guarantee the existence of MCP when block orders are allowed, we must allow their deactivation, regardless of their bid prices [13].…”

Section: Complex Orders In Electricity Marketsmentioning

confidence: 99%

“…To guarantee the existence of MCP when block orders are allowed, we must allow their deactivation, regardless of their bid prices [13]. This may result in so-called paradoxically rejected block orders [14], the rejection of which seemingly contradicts to the resulting market clearing prices (but in fact, they can not be accepted without the violation of other constraints, since if they get accepted the MCP will not exist anymore [11]).…”

Section: Complex Orders In Electricity Marketsmentioning

confidence: 99%

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Strategic bidding via the interplay of minimum income condition orders in day-ahead power exchanges

Csercsik¹

2020

Preprint

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In this paper we study the so-called minimum income condition order, which is used in some day-ahead electricity power exchanges to represent the production-related costs of generating units. This order belongs to the family of complex orders, which imply non-convexities in the market clearing problem. We demonstrate via simple numerical examples that if more of such bids are present in the market, their interplay may open the possibility of strategic bidding. More precisely, we show that by the manipulation of bid parameters, a strategic player may increase its own profit and potentially induce the deactivation of an other minimum income condition order, which would be accepted under truthful bidding. Furthermore, we show that if we modify the objective function used in the market clearing according to principles suggested in the literature, it is possible to prevent the possibility of such strategic bidding, but the modification raises other issues. NomenclatureMCP Market clearing price DAPX Day-ahead power exchange TSW Total social welfare MIC Minimum income condition FT Fixed term VT Variable term

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Section: Complex Orders In Electricity Marketsmentioning

confidence: 99%

Section: Complex Orders In Electricity Marketsmentioning

confidence: 99%

Strategic bidding via the interplay of minimum income condition orders in day-ahead power exchanges

Csercsik¹

2020

Preprint

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“…Therefore, we can use any subset of them for our purpose. In particular, the complementary slackness associated to the constraints (19)- (20) are defined as follows:…”

Section: The Final Milp Modelmentioning

confidence: 99%

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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“…Ref. [13] presents the problems that appeared in the pan-European day-ahead market which includes non-convex products (block orders) and uses a uniform pricing scheme for the P a g e 31 | 162 settlement process, as currently applied. Ten instances (days) corresponding to the Belgian market are examined where the total execution time and the social welfare are compared using a uniform and a non-uniform pricing scheme.…”

Section: Flow Based Market Couplingmentioning

confidence: 99%

“…Finally, currently there is no research work concerning the solution of the European dayahead electricity markets considering a nodal network representation and an AC instead of the DC transmission network representation which is currently used by models in the literature [10], [12]- [13], [14]- [17], [21], [25]- [26], [67]- [69]. In this thesis a distributed-slack bus model using AC linearized constraints is presented in order to incorporate the losses and the effect of voltages and reactive power in the clearing results, through loss sensitivities and distribution factors.…”

Section: Thesis Motivation and Contributionmentioning

confidence: 99%

Clearing of the European day-ahead electricity markets with system constraints

Dourmpois¹,

Δουρμπόης²

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Η παρούσα διδακτορική διατριβή παρουσιάζει καινοτόμα μοντέλα και αλγοριθμικές διαδικασίες για την επίλυση της ημερήσιας πανευρωπαϊκής αγοράς ηλεκτρικής ενέργειας, ενσωματώνοντας άμεσα όλα τα προϊόντα της αγοράς και τους περιορισμούς του συστήματος μεταφοράς υποθέτοντας ζωνική αναπαράσταση του συστήματος που περιλαμβάνονται στον επιλυτή EUPHEMIA. Τα προτεινόμενα μοντέλα διαχειρίζονται αποτελεσματικά:α) τις μη-διαισθητικές διμερείς συναλλαγές ενέργειας που είναι δυνατόν να προκύπτουν μεταξύ διαφορετικών περιοχών προσφορών,β) τις Παραδόξως Αποδεκτές αδιαίρετες προσφορέςγ) τις Παραδόξως Αποδεκτές προσφορές Ελάχιστου Εισοδήματος δ) τις προσφορές Ενιαίας Εθνικής Τιμής (που συναλλάσσονται στην Ιταλική αγορά). Τα μοντέλα διαμορφώνονται ως προβλήματα Μικτού Ακέραιου Γραμμικού Προγραμματισμού ή ως προβλήματα Μεικτής Συμπληρωματικότητας, και αξιολογούνται σε ένα σύστημα δοκιμής που αποτελείται από 42 Ευρωπαϊκά Χρηματιστήρια, επιδεικνύοντας ελάχιστες υπολογιστικές απαιτήσεις και άριστες δυνατότητες επέκτασης. Επίσης, παρουσιάζονται δύο μοντέλα για την επίλυση μίας Ευρωπαϊκής ημερήσιας αγοράς ηλεκτρικής ενέργειας με αδιαίρετες προσφορές θεωρώντας κομβική αναπαράσταση του συστήματος μεταφοράς με Ν και Ν-1 περιορισμούς ασφαλείας. Συγκεκριμένα, στο πρώτο μοντέλο χρησιμοποιείται η μέθοδος «Benders Decomposition» το οποίο αποσυντίθεται σε ένα Κυρίως Πρόβλημα που περιλαμβάνει τις δυαδικές μεταβλητές, και σε ένα υπό-πρόβλημα που περιλαμβάνει τις συνεχείς μεταβλητές και συντονίζεται με μία επαναληπτική διαδικασία για την απόρριψη των αδιαίρετων προσφορών. Στο δεύτερο μοντέλο το πρόβλημα επίλυσης της αγοράς συντονίζεται κατά τη διάρκεια μίας επαναληπτικής διαδικασίας με μία Ροή Φορτίου Εναλλασσόμενου Ρεύματος, προκειμένου να ελεγχθεί η φαινόμενη ροή ισχύος των γραμμών μεταφοράς έναντι των αντίστοιχων ορίων τους. Στο μοντέλο λαμβάνεται υπόψη η επίδραση των μέτρων της τάσης και της έγχυσης/απορρόφησης άεργου ισχύος στις ροές των γραμμών του συστήματος, και υπολογίζονται Κομβικές Οριακές Τιμές. Στο μοντέλο χρησιμοποιείται η μοντελοποίηση «κατανεμημένου κόμβου αναφοράς».

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Non-convexities in European day-ahead electricity markets: Belgium as a case study

Cited by 8 publications

References 5 publications

Strategic bidding via the interplay of minimum income condition orders in day-ahead power exchanges

Strategic bidding via the interplay of minimum income condition orders in day-ahead power exchanges

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

Clearing of the European day-ahead electricity markets with system constraints

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