Bilevel programming for price-based electricity auctions: a revenue-constrained case

This paper describes the application of bilevel programming to a class of real-life problems in the field of electric power systems. Within the context of electricity markets, market-clearing procedures, i.e., auction models, are used by an independent entity to schedule generation offers and consum...

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Autores principales:	Ricardo Fernández-Blanco, JoséM. Arroyo, Natalia Alguacil
Formato:	article
Lenguaje:	EN
Publicado:	Elsevier 2015
Materias:	90-08 90B30 90C11 90C90 Applied mathematics. Quantitative methods T57-57.97 Electronic computers. Computer science QA75.5-76.95
Acceso en línea:	https://doaj.org/article/11fda7da436246b885176e9eb24555a5
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spelling	oai:doaj.org-article:11fda7da436246b885176e9eb24555a52021-12-02T05:00:44ZBilevel programming for price-based electricity auctions: a revenue-constrained case2192-440610.1007/s13675-015-0037-8https://doaj.org/article/11fda7da436246b885176e9eb24555a52015-09-01T00:00:00Zhttp://www.sciencedirect.com/science/article/pii/S2192440621000459https://doaj.org/toc/2192-4406This paper describes the application of bilevel programming to a class of real-life problems in the field of electric power systems. Within the context of electricity markets, market-clearing procedures, i.e., auction models, are used by an independent entity to schedule generation offers and consumption bids as well as to determine market-clearing prices. This paper addresses a mathematically challenging type of auction, denoted as price-based market clearing, wherein, as a distinctive feature, market-clearing prices are explicitly incorporated in the formulation of the optimization process. This paper shows that bilevel programming provides a suitable modeling framework for price-based market clearing. Furthermore, based on practical modeling aspects, an equivalent single-level primal-dual transformation into a mixed-integer program can be implemented. Such transformation relies on the application of duality theory of linear programming. The bilevel programming framework for price-based market clearing is applied to a revenue-constrained auction model similar to those used in several European electricity markets. As a major contribution, bilinear terms associated with both generation revenue constraints and the duality-based transformation are equivalently converted into linear forms with no additional binary variables. Simulation results show the effective performance of the proposed approach and its superiority over current industry practice.Ricardo Fernández-BlancoJoséM. ArroyoNatalia AlguacilElsevierarticle90-0890B3090C1190C90Applied mathematics. Quantitative methodsT57-57.97Electronic computers. Computer scienceQA75.5-76.95ENEURO Journal on Computational Optimization, Vol 3, Iss 3, Pp 163-195 (2015)
institution	DOAJ
collection	DOAJ
language	EN
topic	90-08 90B30 90C11 90C90 Applied mathematics. Quantitative methods T57-57.97 Electronic computers. Computer science QA75.5-76.95
spellingShingle	90-08 90B30 90C11 90C90 Applied mathematics. Quantitative methods T57-57.97 Electronic computers. Computer science QA75.5-76.95 Ricardo Fernández-Blanco JoséM. Arroyo Natalia Alguacil Bilevel programming for price-based electricity auctions: a revenue-constrained case
description	This paper describes the application of bilevel programming to a class of real-life problems in the field of electric power systems. Within the context of electricity markets, market-clearing procedures, i.e., auction models, are used by an independent entity to schedule generation offers and consumption bids as well as to determine market-clearing prices. This paper addresses a mathematically challenging type of auction, denoted as price-based market clearing, wherein, as a distinctive feature, market-clearing prices are explicitly incorporated in the formulation of the optimization process. This paper shows that bilevel programming provides a suitable modeling framework for price-based market clearing. Furthermore, based on practical modeling aspects, an equivalent single-level primal-dual transformation into a mixed-integer program can be implemented. Such transformation relies on the application of duality theory of linear programming. The bilevel programming framework for price-based market clearing is applied to a revenue-constrained auction model similar to those used in several European electricity markets. As a major contribution, bilinear terms associated with both generation revenue constraints and the duality-based transformation are equivalently converted into linear forms with no additional binary variables. Simulation results show the effective performance of the proposed approach and its superiority over current industry practice.
format	article
author	Ricardo Fernández-Blanco JoséM. Arroyo Natalia Alguacil
author_facet	Ricardo Fernández-Blanco JoséM. Arroyo Natalia Alguacil
author_sort	Ricardo Fernández-Blanco
title	Bilevel programming for price-based electricity auctions: a revenue-constrained case
title_short	Bilevel programming for price-based electricity auctions: a revenue-constrained case
title_full	Bilevel programming for price-based electricity auctions: a revenue-constrained case
title_fullStr	Bilevel programming for price-based electricity auctions: a revenue-constrained case
title_full_unstemmed	Bilevel programming for price-based electricity auctions: a revenue-constrained case
title_sort	bilevel programming for price-based electricity auctions: a revenue-constrained case
publisher	Elsevier
publishDate	2015
url	https://doaj.org/article/11fda7da436246b885176e9eb24555a5
work_keys_str_mv	AT ricardofernandezblanco bilevelprogrammingforpricebasedelectricityauctionsarevenueconstrainedcase AT josemarroyo bilevelprogrammingforpricebasedelectricityauctionsarevenueconstrainedcase AT nataliaalguacil bilevelprogrammingforpricebasedelectricityauctionsarevenueconstrainedcase
_version_	1718400814026850304

Bilevel programming for price-based electricity auctions: a revenue-constrained case

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