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In this paper, we present a two-stage model of zonal electricity markets with day-ahead market clearing, and real-time re-dispatch and balancing that accounts for transmission line switching at both stages. We show how the day-ahead problem with switching can be formulated as an adaptive robust optimization problem with mixed integer recourse, and present a new algorithm for solving the adversarial max-min problem that obeys the structure of an interdiction game. We apply the model on a realistic instance of the Central Western European system, and comment on the impacts of both proactive, and reactive transmission switching on the operating costs of the system. Part I presents day-ahead models of a short-term zonal electricity market with switching, and describes our algorithmic approach for solving these models efficiently. Part II describes variants of the real-time model, and presents the results of our case study on the Central Western European market. [ABSTRACT FROM AUTHOR]

A novel model for the clearing of European day-ahead electricity markets, with all associated types of orders, namely simple hourly orders, block orders, complex orders and PUN (“Prezzo Unico Nazionale”) orders is presented in this paper. An iterative algorithm is employed for the market clearing, bearing an inner iteration process for the handling of Paradoxically Accepted block and MIC orders, and an outer iteration process for the handling of PUN orders. During the iterative process a Master Problem and a PUN subproblem are sequentially solved and coordinated, for the efficient handling of all order clearing conditions and market and/or system constraints. The clearing conditions of each order type are explicitly incorporated in the PUN subproblem, formulating a Mixed Complementarity Problem bearing both primal and dual decision variables. The PUN subproblem concerns the sequential clearing of 24 hourly subproblems, employing a special technique for handling the possible inefficiencies due to the myopic nature of the hourly subproblem solutions, leading to enhanced behavior in terms of social surplus with respect to the state-of-the-art day-ahead market clearing solver. The model and the algorithmic process are evaluated in a west-European test case, demonstrating minimal computational requirements and proving its excellent escalation capabilities. [ABSTRACT FROM AUTHOR]

In this paper we present a regression based model for day-ahead electricity spot prices. We estimate the considered linear regression model by the lasso estimation method. The lasso approach allows for many possible parameters in the model, but also shrinks and sparsifies the parameters automatically to avoid overfitting. Thus, it is able to capture the autoregressive intraday dependency structure of the electricity price well. We discuss in detail the estimation results which provide insights to the intraday behavior of electricity prices. We perform an out-of-sample forecasting study for several European electricity markets. The results illustrate well that the efficient lasso based estimation technique can exhibit advantages from two popular model approaches. [ABSTRACT FROM PUBLISHER]

Transitioning from fossil fuel dominated power systems to high penetrations of intermittent renewable generation is affecting classical electricity market designs. Here, a method is proposed to model and assess the absence of co-optimization of energy and reserve that prevails in the European system. Co-optimization is formulated through an optimization problem (COM), and its absence as an equilibrium problem (EQM) built on Karush-Kuhn-Tucker conditions of agents’ optimization and market clearing equations. EQM cannot be reformulated as a single optimization problem. Market distortions are identified by comparing the complementarity conditions of both models. These are then discussed on system with Feed in Premium to wind generation. Parameters in the models allow to represent different market configurations regarding: available wind generation, Feed in Premium to wind, generators’ risk aversion, and required reserve from wind generation. [ABSTRACT FROM AUTHOR]

Convex hull pricing is a well-documented method for coping with the non-existence of uniform clearing prices in electricity markets with non-convex costs and constraints. We revisit primal and dual methods for computing convex hull prices, and discuss the positioning of existing approximation methods in this taxonomy. We propose a dual decomposition algorithm known as the Level Method and we adapt the basic algorithm to the specificities of convex hull pricing. We benchmark its performance against a column generation algorithm that has recently been proposed in the literature. We provide empirical evidence about the favorable performance of our algorithm on large test instances based on PJM and Central Europe. [ABSTRACT FROM AUTHOR]