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Pricing Non-convexities in an Electricity Pool

Electricity pools are generally cleared through auctions that are conveniently formulated as mixed-integer linear programming problems. Since a mixed-integer linear programming problem is non-continuous and non-convex, marginal prices cannot be easily derived. However, to trade electricity, prices are needed. Thus, a relevant question arises: how to generate appropriate prices? This presentation addresses this important issue and proposes a primal-dual approach to derive efficient pool-clearing prices that support market outcomes in the sense that agents are willing to remain in the market. Such prices do not significantly deviate from the marginal prices obtained if integrality conditions are relaxed in the original mixed-integer linear programming problem. Two case studies illustrate the functioning of the proposed pricing scheme.

Type of Seminar:
Optimization and Applications Seminar
Prof. Antonio J. Conejo
Electrical Engineering Department, Universidad de Castilla - La Mancha, Ciudad Real, Spain
Dec 19, 2011   16:30

HG G 19.1, Rämistrasse 101
Contact Person:

John Lygeros
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Biographical Sketch:
B.S. EE U. P. Comillas, Madrid, Spain, 1983.
M.S. EE Massachusetts Institute of Technology, Cambridge, Massachusetts, 1987.
Ph.D. EE Royal Institute of Technology, Stockholm, Sweden, 1990.

Current position:
3/99 - Date: Full Professor. Univ. de Castilla - La Mancha, Ciudad Real, Spain.

Research interests: Control, operations, planning, economics and regulation of electric energy system. Electricity markets. Large scale optimization. Mathematical programming. Stochastic Programming. Statistics. Optimal control.