Thursday, 13:15 - 13:40 h, Room: MA 550


Eugene Zak
Bilevel Programming for combinatorial auctions in electricity markets

Coauthors: Sami Ammari, Kwok Cheung


In advanced electricity markets some bids and offers extend over a block of several consecutive time periods so that the block bid/offer has to be cleared entirely for all time periods comprising the block. According to a typical market rule a block bid can be cleared only if its price is not lower than the average market price. Similarly, a block offer can be cleared only if its price is not higher than the average market price. The dilemma occurs: block bids/offers selection as a primal solution cannot be properly exercised without knowing the prices as a dual solution, and the prices depend on the selection decisions. We propose a model harmonizing such complex "primal-dual'' market rules. The model, based on bilevel programming, ties together the primal and dual variables so that the "primal-dual'' market rules become a part of the overall model. The model is a non-linear Mixed Integer Program (MIP). We have implemented an exact algorithm to solve this model. The computational results demonstrate the adequacy of the modeling and algorithmic approaches and their practical value for several European electricity markets with combinatorial auctions.


Talk 1 of the contributed session Thu.2.MA 550
"Bilevel programming and housing retrofit" [...]
Cluster 18
"Optimization in energy systems" [...]


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