Bilevel optimization applied to strategic pricing in competitive electricity markets |
| |
Authors: | M Fampa L A Barroso D Candal L Simonetti |
| |
Institution: | (1) Instituto de Matemática-DCC and COPPE, Universidade Federal do Rio de Janeiro, C.P. 68530, 21945-970 Rio de Janeiro, Brazil;(2) COPPE, Universidade Federal do Rio de Janeiro, C.P. 68511, 21945-970 Rio de Janeiro, Brazil |
| |
Abstract: | In this paper, we present a bilevel programming formulation for the problem of strategic bidding under uncertainty in a wholesale
energy market (WEM), where the economic remuneration of each generator depends on the ability of its own management to submit
price and quantity bids. The leader of the bilevel problem consists of one among a group of competing generators and the follower
is the electric system operator. The capability of the agent represented by the leader to affect the market price is considered
by the model. We propose two solution approaches for this non-convex problem. The first one is a heuristic procedure whose
efficiency is confirmed through comparisons with the optimal solutions for some instances of the problem. These optimal solutions
are obtained by the second approach proposed, which consists of a mixed integer reformulation of the bilevel model. The heuristic
proposed is also compared to standard solvers for nonlinearly constrained optimization problems. The application of the procedures
is illustrated in case studies with configurations derived from the Brazilian power system. |
| |
Keywords: | Electricity pool market Strategic pricing Bilevel programming Mathematical program with equilibrium constraints |
本文献已被 SpringerLink 等数据库收录! |
|