Critical review of pricing schemes in markets with non-convex costs

Operations Research

Volumn 64, Issue 1, 2016, Pages 17-31

  Liberopoulos, George ^a   Andrianesis, Panagiotis ^a  

^a UNIVERSITY OF THESSALY   (Greece)

Author keywords

Energy; Markets; Non convexities; Pricing

Indexed keywords

COMMERCE; COST ACCOUNTING; DEREGULATION; MARKETING;

CLOSED-FORM EXPRESSION; DEREGULATED ELECTRICITY MARKET; ENERGY; MARGINAL-COST PRICING; MARKET MANIPULATION; NONCONVEXITY; NUMERICAL COMPARISON; OPTIMAL ALLOCATION;

COSTS;

EID: 84959262014     PISSN: 0030364X     EISSN: 15265463     Source Type: Journal    
DOI: 10.1287/opre.2015.1451     Document Type: Review

References (35)

1. Anderson EJ, Philpott AB (2002a) Optimal offer construction in electricity markets. Math. Oper. Res. 27(1):82-100.
2. Anderson EJ, Philpott AB (2002b) Using supply functions for offering generation into an electricity market. Oper. Res. 50(3):477-489.
3. Andrianesis P, Liberopoulos G (2013) On the design of electricity auctions with non-convexities and make-whole payments. Proc. 10th Intl Conf. Europ. Energy Market (EEM'13), Stockholm, Sweden.
4. Andrianesis P, Liberopoulos G (2014) Revenue-adequate pricing mechanisms in non-convex electricity markets: A comparative study. Proc. 11th Intl Conf. Europ. Energy Market (EEM'14), Krakow, Poland.
5. Andrianesis P, Liberopoulos G, Kozanidis G, Papalexopoulos AD (2013a) Recovery mechanisms in day-ahead markets with non-convexities- Part I: Design and evaluation methodology. IEEE Trans. Power Syst. 28(2):960-968.
6. Andrianesis P, Liberopoulos G, Kozanidis G, Papalexopoulos AD (2013b) Recovery mechanisms in day-ahead markets with non-convexities-Part II: Implementation and numerical evaluation. IEEE Trans. Power Syst. 28(2):969-977.
7. Araoz V, Jörnsten K (2011) Semi-Lagrangean approach for price discovery in markets with non-convexities. Europ. J. Oper. Res. 214(2):411-417.
8. Beltran C, Tadonki C, Vial J-PH (2006) Solving the p-median problem with a semi-Lagrangian relaxation. Comput. Optim. Appl. 35(2):239-260.
9. Bjørndal M, Jörnsten K (2008) Equilibrium prices supported by dual price functions in markets with non-convexities. Europ. J. Oper. Res. 190(3):768-789.
10. Bjørndal M, Jörnsten K (2010) A partitioning method that generates interpretable prices for integer programming problems. Rebennack S, Pardalos PM, Pereira MVF, Iliadis NA, eds. Handbook of Power Systems II, (Springer, Berlin), 337-350.
11. Fabra N, von der Fehr N-H, Harbord D (2006) Designing electricity auctions. RAND J. Econom. 37(1):23-46.
12. Federal Energy Regulatory Commission (FERC) (2013) Order approving stipulation and consent agreement in make-whole payments and related bidding strategies. 144 FERC ¶ 61, 068, Docket Nos. IN11-8-000 IN 13-5-000.
13. Gabriel SA, Conejo AJ, Ruiz C, Siddiqui S (2013) Solving discretelyconstrained, mixed linear complementarity problems with applications in energy. Comp. Oper. Res. 40(5):1339-1350.
14. Galiana FD, Motto AL, Bouffard F (2003) Reconciling social welfare, agent profits, and consumer payments in electricity pools. IEEE Trans. Power Syst. 18(2):452-459.
15. Gomory RE, Baumol WJ (1960) Integer programming and pricing. Econometrica 28(3):521-550.
16. Green RJ, Newbery DM (1992) Competition in the British electricity spot market. J. Polit. Econom. 100(5):929-953.
17. Gribik PR, Hogan WW, Pope SL (2007) Market-clearing electricity prices and energy uplift. Working paper, John F. Kennedy School of Government, Harvard University.
18. Hobbs BF, Metzler CB, Pang J-S (2000) Strategic gaming analysis for electric power systems: An MPEC approach. IEEE Trans. Power Syst. 15(2):638-645.
19. Hogan WW, Ring BJ (2003) On minimum-uplift pricing for electricity markets. Working paper, John F. Kennedy School of Government, Harvard University.
20. Klabjan D (2002) A new subadditive approach to integer programming. Cook WJ, Schulz AS, eds. Integer Programming and Combinatorial Optimization, Lecture Notes in Computer Science 2337 (Springer, Berlin), 384-400.
21. Klemperer PD, Meyer MA (1989) Supply function equilibria in oligopoly under uncertainty. Econometrica 57(6):1243-1277.
22. Motto AL, Galiana FD (2002) Equilibrium of auction markets with unit commitment: The need for augmented pricing. IEEE Trans. Power Syst. 17(3):798-805.
23. O'Neill RP, Sotkiewicz PM, Hobbs BF, Rothkopf MH, Stewart Jr WR (2005) Efficient market-clearing prices in markets with nonconvexities. Europ. J. Oper. Res. 164(1):269-285.
24. Ruiz C, Conejo AJ, Gabriel SA (2012) Pricing non-convexities in an electricity pool. IEEE Trans. Power Syst. 27(3):1334-1342.
25. Scarf HE (1990) Mathematical programming and economic theory. Oper. Res. 38(3):377-385.
26. Scarf HE (1994) The allocation of resources in the presence of indivisibilities. J. Econom. Perspect. 8(4):111-128.
27. Sioshansi R, Nicholson E (2011) Towards equilibrium offers in unit commitment auctions with nonconvex costs. J. Regulatory Econom. 40(1):41-61.
28. Starr RM (1969) Quasi-equilibria in markets with non-convex preferences. Econometrica 37(1):25-38.
29. Van Vyve M (2011) Linear price for non-convex electricity markets: Models and algorithms. Discussion Paper 2011/50, CORE-UCL, Belgium.
30. Ventosa M, Baillo A, Ramos A, Rivier M (2005) Electricity market modeling trends. Energy Policy 33(7):897-913.
31. von der Fehr NHM, Harbord D (1993) Spot market competition in the UK electricity industry. Econom. J. 103(418):531-546.
32. Wang G (2013) Design and operation of electricity markets: Dynamics, uncertainty, pricing and completion. Unpublished doctoral dissertation, University of Illinois at Urbana-Champaign.
33. Wang G, Shanbhag UV, Meyn SP (2012) On Nash equilibria in duopolistic power markets subject to make-whole uplift. Proc. 51st IEEE Conf. Decision Control (CDC 2012), Maui, Hawaii, 472-477.
34. Wingfield B, Kopecki D (2013) JP Morgan to pay $410 million in U.S. FERC settlement. Bloomberg (July 30). Accessed June 30, 2015, http://www.bloomberg.com/news/articles/2013-07-30/jpmorganto-pay-410-million-in-u-s-ferc-settlement .
35. Wolsey LA (1981) Integer programming duality: Price functions and sensitivity analysis. Math. Programming 20(1):173-195.