Pricing non-convexities in an electricity pool

IEEE Transactions on Power Systems

Volumn 27, Issue 3, 2012, Pages 1334-1342

  Ruiz, Carlos ^a   Conejo, Antonio J ^a   Gabriel, Steven A ^b  

^a UNIVERSITY OF CASTILLA LA MANCHA   (Spain)

^b UNIVERSITY OF MARYLAND   (United States)

Author keywords

Binary decisions; electricity pool; linear programming; marginal prices; market clearing; non convexities

Indexed keywords

BINARY DECISION; ELECTRICITY POOL; MARGINAL PRICES; MARKET CLEARING; NON-CONVEXITIES;

COMMERCE; ECONOMICS; ELECTRICITY; LAKES; LINEAR PROGRAMMING;

COSTS;

EID: 84864280006     PISSN: 08858950     EISSN: None     Source Type: Journal    
DOI: 10.1109/TPWRS.2012.2184562     Document Type: Article

References (27)

1. A. L. Motto, F. D. Galiana, A. J. Conejo, and J. M. Arroyo, "Networkconstrained multiperiod auction for a pool-based electricity market," IEEE Trans. Power Syst., vol. 17, no. 3, pp. 646-653, Aug. 2002. (Pubitemid 35151738)
2. T. Zheng and E. Litvinov, "Ex post pricing in the co-optimized energy and reserve market," IEEE Trans. Power Syst., vol. 21, no. 4, pp. 1528-1538, Nov. 2006. (Pubitemid 46357750)
3. A. Ott, "Experience with PJM market operation, system design, and implementation," IEEE Trans. Power Syst., vol. 18, no. 2, pp. 528-534, May 2003.
4. Market Operator of the Electricity Market of Mainland Spain, OMEL, 2011. [Online]. Available: http://www.omel.es/.
5. R. O'Neill et al., "Efficientmarket-clearing prices inmarkets with nonconvexities," Eur. J. Oper. Res., vol. 164, pp. 269-285, Jul. 2005.
6. W. W. Hogan and B. J. Ring, "On minimum-uplift pricing for electricity markets," 2003, unpublished. [Online]. Available: http://www. hks.harvard.edu/fs/whogan/.
7. P. R. Gribik, W. W. Hogan, and S. L. Pope, "Market-clearing prices and energy uplift," 2007, unpublished. [Online]. Available: http://www.hks.harvard.edu/fs/whogan/.
8. M. Bjørndal and K. Jörnsten, "Equilibrium prices supported by dual price functions in markets with non-convexities," Eur. J. Oper. Res., vol. 190, pp. 768-789, Nov. 2008. (Pubitemid 351609260)
9. H. E. Scarf, "Mathematical programming and economic theory," Oper. Res., vol. 38, pp. 377-385, May 1990.
10. H. E. Scarf, "The allocation of resources in the presence of indivisibilities," J. Econ. Perspect., vol. 8, pp. 111-28, Jan. 1994.
11. B. Hobbs, M. Rothkopf, R. O'Neill, and H.-P. Chao, The Next Generation of Electric Power Unit Commitment Models. Norwell, MA: Kluwer, 2001.
12. S. Dekrajangpetch, G. B. Sheble, and A. J. Conejo, "Auction implementation problems using Lagrangian relaxation," IEEE Trans. Power Syst., vol. 14, no. 1, pp. 82-88, Feb. 1999.
13. R. B. Johnson, S. S. Oren, and A. J. Svoboda, "Equity and efficiency of unit commitment in competitive electricity markets," Util. Policy, vol. 6, pp. 9-19, Mar. 1997. (Pubitemid 27442536)
14. R. Sioshansi, R. O'Neill, and S. S. Oren, "Economic consequences of alternative solution methods for centralized unit commitment in dayahead electricity markets," IEEE Trans. Power Syst., vol. 23, no. 2, pp. 344-352, May 2008. (Pubitemid 351695812)
15. M.Madrigal andV.H.Quintana, "Existence and determination of competitive equilibrium in unit commitment power pool auctions: Price setting and scheduling alternatives," IEEE Trans. Power Syst., vol. 16, no. 3, pp. 380-388, Aug. 2001. (Pubitemid 32680734)
16. M. Cadwalader, P. R. Gribik, W. W. Hogan, and S. Pope, "Extended LMP and financial transmission rights," 2010, unpublished. [Online]. Available: http://www.hks.harvard.edu/fs/whogan/.
17. G.Wang, U. V. Shanbhag, T. Zheng, E. Litvinov, and S. P. Meyn, "An extreme-point global optimization technique for convex hull pricing," in Proc. IEEE Power Energy Society General Meeting, 2011, pp. 1-8.
18. C. Wang, P. B. Luh, P. R. Gribik, L. Zhang, and T. Peng, "A subgradient-based cutting plane method to calculate convex hull market prices," in Proc. IEEE Power Energy Society General Meeting, 2009, pp. 1-7.
19. A. L. Motto and F. D. Galiana, "Unit commitment with dual variable constraints," IEEE Trans. Power Syst., vol. 19, no. 1, pp. 330-338, Feb. 2004.
20. A. L. Motto and F. D. Galiana, "Coordination in markets with nonconvexities as a mathematical program with equilibrium constraints-Part I: A solution procedure," IEEE Trans. Power Syst., vol. 19, no. 1, pp. 308-316, Feb. 2004.
21. A. L. Motto and F. D. Galiana, "Coordination in markets with nonconvexities as a mathematical program with equilibrium constraints-Part II: Case studies," IEEE Trans. Power Syst., vol. 19, no. 1, pp. 317-324, Feb. 2004.
22. S. A. Gabriel, A. J. Conejo, C. Ruiz, and S. Siddiqui, "Solving discretely-constrained, mixed linear complementarity problems with applications in energy," Comput. Oper. Res., submitted for publication.
23. CPLEX, GAMS, The Solver Manuals, 2011. [Online]. Available: http://www.gams.com/.
24. M. Carrión and J. M. Arroyo, "A computationally efficient mixed-integer linear formulation for the thermal unit commitment problem," IEEE Trans. Power Syst., vol. 21, no. 3, pp. 1371-1378, Aug. 2006. (Pubitemid 44263531)
25. C. Ruiz and A. J. Conejo, "Pool strategy of a producer with endogenous formation of locational marginal prices," IEEE Trans. Power Syst., vol. 24, no. 4, pp. 1855-1866, Nov. 2009.
26. Reliability System Task Force, "The IEEE reliability test system-1996. A report prepared by the reliability test systemtask force of the application of probability methods subcommittee," IEEE Trans. Power Syst., vol. 14, no. 3, pp. 1010-1020, Aug. 1999.
27. GAMS, General Algebraic Modeling System, 2011. [Online]. Available: http://www.gams.com/.