Friday, 15:45 - 16:10 h, Room: MA 550

 

Johannes Müller
Linear clearing prices in non-convex european day-ahead electricity markets

Coauthors: Alexander Martin, Sebastian Pokutta

 

Abstract:
The European power grid can be divided into several market areas where the price of electricity is determined in a day-ahead auction. Market participants can provide continuous and combinatorial orders with associated quantities given the prices. The goal of our auction is to maximize the economic surplus of all participants subject to transmission constraints and the existence of linear prices. In general strict linear prices do not exist in the presence of non-convex constraints. Therefore we enforce the existence of linear prices such that no one incurs a loss and only combinatorial orders might see a not realized gain. The resulting model is an MPEC that can not be solved efficiently by standard solvers. We present an exact algorithm and a fast heuristic for this type of problem. Both algorithms decompose the MPEC into a master MIP and price subproblems (LPs). The modeling technique and the algorithms are applicable to all MIP based combinatorial auctions.

 

Talk 2 of the contributed session Fri.3.MA 550
"MPEC problems and market coupling" [...]
Cluster 18
"Optimization in energy systems" [...]

 

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