A compensation-based pricing scheme in markets with non-convexities

A compensation-based pricing scheme is a market clearing mechanism that may be applied when a uniform, linear pricing scheme cannot support equilibrium allocations in the auction markets. We analyze extensions of our previously proposed pricing scheme [14] to include various possible representations of bids that reflect some non-convex costs and constraints. We conclude with a discussion on directions for future research.

[1]  Francisco D. Galiana,et al.  Reconciling social welfare, agent profits, and consumer payments in electricity pools , 2003 .

[2]  R. Sioshansi,et al.  Economic Consequences of Alternative Solution Methods for Centralized Unit Commitment in Day-Ahead Electricity Markets , 2008, IEEE Transactions on Power Systems.

[3]  Benjamin F. Hobbs,et al.  Efficient market-clearing prices in markets with nonconvexities , 2005, Eur. J. Oper. Res..

[4]  M. Madrigal,et al.  Existence and Determination of Competitive Equilibrium in Unit Commitment Power Pool Auctions: Price Setting and Scheduling Alternatives , 2001, IEEE Power Engineering Review.

[5]  R. Rockafellar.  The theory of subgradients and its applications to problems of optimization : convex and nonconvex functions , 1981 .

[6]  Eugeniusz Toczylowski,et al.  A new pricing scheme for a multi-period pool-based electricity auction , 2009, Eur. J. Oper. Res..

[7]  A. Conejo,et al.  Multiperiod auction for a pool-based electricity market , 2002, 2003 IEEE Power Engineering Society General Meeting (IEEE Cat. No.03CH37491).

[8]  R. Malhamé,et al.  Generalized uplifts in pool-based electricity markets: coordinating time-dynamic markets , 2005 .

[9]  Kurt Jörnsten,et al.  Equilibrium prices supported by dual price functions in markets with non-convexities , 2008, Eur. J. Oper. Res..

[10]  William W. Hogan,et al.  Market-Clearing Electricity Prices and Energy Uplift , 2008 .

[11]  M. Rothkopf,et al.  Equilibrium Prices in Power Exchanges with Non-convex Bids , 2007 .