Nash equilibrium in strategic bidding: a binary expansion approach

This paper presents a mixed integer linear programming solution approach for the equilibrium problem with equilibrium constraints (EPEC) problem of finding the Nash equilibrium (NE) in strategic bidding in short-term electricity markets. A binary expansion (BE) scheme is used to transform the nonlinear, nonconvex, NE problem into a mixed integer linear problem (MILP), which can be solved by commercially available computational systems. The BE scheme can be applicable to Cournot, Bertrand, or joint price/quantity bidding models. The approach is illustrated in case studies with configurations derived from the 95-GW Brazilian system, including unit-commitment decisions to the price-maker agents.

[1]  S. Granville,et al.  Strategic bidding under uncertainty: a binary expansion approach , 2005, IEEE Transactions on Power Systems.

[2]  J. Contreras,et al.  Finding multiperiod Nash equilibria in pool-based electricity markets , 2004, IEEE Transactions on Power Systems.

[3]  W. Hogan.  Discussion of “ Hydrothermal Market Simulator Using Game Theory: Assessment of Market Power” , 2004 .

[4]  Yuzeng Li,et al.  Oligopolistic equilibrium analysis for electricity markets: a nonlinear complementarity approach , 2004, IEEE Transactions on Power Systems.

[5]  I. Hiskens,et al.  Searching for noncooperative equilibria in centralized electricity markets , 2003 .

[6]  James Bushnell,et al.  A Mixed Complementarity Model of Hydrothermal Electricity Competition in the Western United States , 2003, Oper. Res..

[7]  B. Hobbs,et al.  Chapter 3 Complementarity-Based Equilibrium Modeling for Electric Power Markets , 2003 .

[8]  T. Overbye,et al.  An Individual Welfare Maximation Algorithm for Electricity Markets , 2002, IEEE Power Engineering Review.

[9]  J. Contreras,et al.  Optimal response of an oligopolistic generating company to a competitive pool-based electric power market , 2002 .

[10]  William A. Mogel.  Making Competition Work in Electricity , 2002 .

[11]  J. Contreras,et al.  Price-Maker Self-Scheduling in a Pool-Based Electricity Market: A Mixed-Integer LP Approach , 2002, IEEE Power Engineering Review.

[12]  M. Pereira,et al.  Market Power Assessment and Mitigation in Hydrothermal Systems , 2001, IEEE Power Engineering Review.

[13]  B. Hobbs,et al.  Linear Complementarity Models of Nash-Cournot Competition in Bilateral and POOLCO Power Markets , 2001, IEEE Power Engineering Review.

[14]  A. David,et al.  Strategic bidding in competitive electricity markets: a literature survey , 2000, 2000 Power Engineering Society Summer Meeting (Cat. No.00CH37134).

[15]  J. Pang,et al.  Strategic gaming analysis for electric power systems: an MPEC approach , 2000 .

[16]  George Gross,et al.  Generation Supply Bidding in Perfectly Competitive Electricity Markets , 2000, Comput. Math. Organ. Theory.

[17]  Carlos Batlle,et al.  A simulation model for a competitive generation market , 2000 .

[18]  James Bushnell,et al.  Market Power in Electricity Markets: Beyond Concentration Measures , 1999 .

[19]  Benjamin F. Hobbs,et al.  Understanding how market power can arise in network competition: a game theoretic approach , 1999 .

[20]  M. Ventosa,et al.  Modeling competition in electric energy markets by equilibrium constraints , 1999 .

[21]  Benjamin F. Hobbs,et al.  LCP models of Nash-Cournot competition in bilateral and POOLCO-based power markets , 1999, IEEE Power Engineering Society. 1999 Winter Meeting (Cat. No.99CH36233).