Title :

Moving from Linear to Conic Markets for Electricity

Author(s) :

Ratha, Anubhav [Auteur]
DTU Electrical Engineering [Lyngby]
Pinson, Pierre [Auteur]
Imperial College London
Le Cadre, Hélène [Auteur]
Integrated Optimization with Complex Structure [INOCS]
Virag, Ana [Auteur]
Flemish Institute for Technological Research [VITO]
Kazempour, Jalal [Auteur]
DTU Electrical Engineering [Lyngby]

Journal title :

European Journal of Operational Research

Pages :

762--783

Publisher :

Elsevier

Publication date :

2023

ISSN :

0377-2217

English keyword(s) :

OR in energy
spatial equilibrium
mechanism design
electricity markets
conic economics

HAL domain(s) :

Mathématiques [math]/Optimisation et contrôle [math.OC]
Économie et finance quantitative [q-fin]

English abstract : [en]

We propose a new forward electricity market framework that admits heterogeneous market participantswith second-order cone strategy sets, who accurately express the nonlinearities in their costsand constraints through conic ...
Show more >We propose a new forward electricity market framework that admits heterogeneous market participantswith second-order cone strategy sets, who accurately express the nonlinearities in their costsand constraints through conic bids, and a network operator facing conic operational constraints.In contrast to the prevalent linear-programming-based electricity markets, we highlight how theinclusion of second-order cone constraints improves uncertainty-, asset-, and network-awarenessof the market, which is key to the successful transition towards an electricity system based onweather-dependent renewable energy sources. We analyze our general market-clearing proposalusing conic duality theory to derive efficient spatially-differentiated prices for the multiple commodities,comprised of energy and flexibility services. Under the assumption of perfect competition,we prove the equivalence of the centrally-solved market-clearing optimization problem to a competitivespatial price equilibrium involving a set of rational and self-interested participants and a pricesetter. Finally, under common assumptions, we prove that moving towards conic markets does notincur the loss of desirable economic properties of markets, namely market efficiency, cost recovery,and revenue adequacy. Our numerical studies focus on the specific use case of uncertainty-awaremarket design and demonstrate that the proposed conic market brings advantages over existingalternatives within the linear programming market framework.Show less >

Language :

Anglais

Popular science :

Non

Collections :

• Centre de Recherche en Informatique, Signal et Automatique de Lille (CRIStAL) - UMR 9189

Source :

Harvested from HAL