New Clearing Model to Mitigate the Non-Convexity in European Day-ahead Electricity Market

Le Hong Lam, Valentin Ilea and Cristian Bovo
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Le Hong Lam: Faculty of Electrical Engineering, The University of Danang—University of Science and Technology, 54 Nguyen Luong Bang, Danang 550000, Vietnam
Valentin Ilea: Department of Energy, Politecnico di Milano, Via LaMasa, 34, 20156 Milano, Italy
Cristian Bovo: Department of Energy, Politecnico di Milano, Via LaMasa, 34, 20156 Milano, Italy

Energies, 2020, vol. 13, issue 18, 1-28

Abstract: Nowadays, the payment scheme of European Day-Ahead Market is based on the market clearing price by running the Pan-European Hybrid Electricity Market Integration Algorithm. However, this conventional payment scheme is challenging because of the non-convexity and the short computation time requirement. Thus, the aim of this work is to propose a new clearing model in order to mitigate this challenge. The model is based on make-whole payment mechanism and it includes two major steps: (i) maximizing social welfare and (ii) achieving a Walrasian equilibrium by the “minimum-uplift approach”. The proposed model is validated and investigated by two case studies: one is an artificially created Day-Ahead Market session containing all type of bids encountered in Europe and containing a very large number of bids to stress the algorithm and the other is a reduced, but realistic, model of European market where real data from February to December of 2017 were considered. The tests show a consistent improvement of the numerical performances of the proposed model with respect to the conventional one while the economic performance is not altered, but is slightly improved. Moreover, because the tests are based on real data during a long period of time, the results show that proposed model is very promising for the real application.

Keywords: European electricity market; EUPHEMIA; Walrasian equilibrium; non-convexity; non-uniform price (search for similar items in EconPapers)
JEL-codes: Q Q0 Q4 Q40 Q41 Q42 Q43 Q47 Q48 Q49 (search for similar items in EconPapers)
Date: 2020
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

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