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Session
Session 07: Electricity Market Simulation and Modeling (2)
Time: Wednesday, 25/May/2011: 2:00pm - 3:30pm
Session Chair: José Villar
Location: Venice

Presentations

Fundamental Conjectured Supply Function Equilibrium: Application to the Iberian System

Cristian Andrés Díaz Durán1, José Villar1, Alberto Campos1, Miguel Ángel Rodríguez2

1Universidad Pontificia Comillas, Spain; 2Endesa, Spain

This paper presents a new two-step algorithm to compute a conjectured supply function electricity market equilibrium with DC transmission network constraints. This approach generalizes a previous authors’ model developed for the single-bus case. Unlike other approaches, its main contribution is that the parameters of the first order approximation of the conjectured supply functions (intercept and slope) are endogenously determined, coherently with the network lines status.

Nodal prices are used to split the market into single prices areas. Each area is treated as a single-bus market from the transmission constraints point of view, and the authors’ singlebus algorithm is applied to compute the generators supply functions for each area. These new generators strategies are then cleared to determine new nodal prices and areas for the next iteration. Convergence is achieved when the network lines status and strategies of the generators do not change significantly in two consecutive iterations.

The algorithm has been tested with some illustrative case examples, and with a simplified version of the MIBEL market (Spain-Portugal).


Curve Fitting with Mixed Integer Programming: Applications to Electricity Markets Models

Fco. Alberto Campos, Jose Villar, Cristian A. Díaz

Universidad Pontificia Comillas, Spain

Long term electricity markets models tend to use simplified representations of both the demand and the generation units, to reduce the amount of input data and decision variables used, and also to decrease their execution times. On the one hand, hourly demand curves are usually simplified into a reduced set of non-chronological demand levels, each one representing hours with similar demand values. On the other hand, individual generation units are condensed into technologies grouping their costs curves by similarity in different appropriated technological cost mappings. This paper proposes several novel Mixed Integer Programming models to solve these two curve-fitting problems when the approximating function is a Piece-Wise Linear Function. By means of two real cases study it shows that the approximation approach has real applicability since it does not significantly compromise the traditional system representation.


Efficient Solution of Optimal Multimarket Electricity Bid Models

Cristina Corchero1, F.-Javier Heredia1, Eugenio Mijangos2

1Universitat Politècnica de Catalunya, Spain; 2University of the Basc Country, Spain

Short-term electricity market is made up of a sequence of markets, that is, it is a multimarket enviroment. In the case of the Iberian Energy Market the sequence of major short-term electricity markets are the day-ahead market, the ancillary service market or secondary reserve market (henceforth reserve market), and a set of six intraday markets. Generation Companies (GenCos) that participate in the electricity market could increase their benefits by jointly optimizing their participation in this sequence of electricity markets. This work proposes a stochastic programming model that gives the GenCo the optimal bidding strategy for the day-ahead market (DAM), which considers the benefits and costs of participating in the subsequent markets and which includes both physical futures contracts and bilateral contracts.


Analysis of Competitive Electricity Markets under a New Model of Real-Time Retail Pricing

Mardavij Roozbehani1, Michael Rinehart1, Munther Dahleh1, Sanjoy Mitter1, Dragan Obradović3, Herbert Mangesius2

1MIT, United States of America; 2Technical University of Munich, Germany; 3Siemens Corporate Technology, Siemens, AG, Munich, Germany

In this paper, we propose a new real-time retail pricing model characterized by ex-post adjustments to exant´e price, and investigate the stability and efficiency properties of the resulting closed loop system. Under this pricing mechanism, electricity is priced at the exant´e price (calculated based on predicted demand) up to the amount consumed at the previous time period. Any deviation of the demand from the previous time period is penalized or reimbursed at the ex-post price (calculated based on actual demand, after consumption). It is assumed that the exant´e and ex-post prices are calculated based on the aggregate consumption of the population. Therefore, although an individual consumer is a price-taker, he might adjust his behavior strategically based on the mean consumption of the population. Within this class of pricing mechanisms we investigate the social welfare and price stability properties. Simulation is used to show that the approximate dynamics with individual-mass interaction has better stability and robustness properties than pure exant´e pricing.


Complex Market Integration in MASCEM Electricity Market Simulator

Gabriel Santos, Tiago Pinto, Hugo Morais, Isabel Praça, Zita Vale

Polytechnic of Porto, Portugal

The restructuring that the energy sector has suffered in industrialized countries originated a greater complexity in market players’ interactions, and thus new problems and issues to be addressed. Decision support tools that facilitate the study and understanding of these markets become extremely useful to provide players with competitive advantage. In this context arises MASCEM, a multi-agent system for simulating competitive electricity markets. To provide MASCEM with the capacity to recreate the electricity markets reality in the fullest possible extent, it is essential to make it able to simulate as many market models and player types as possible. This paper presents the development of the Complex Market in MASCEM. This module is fundamental to study competitive electricity markets, as it exhibits different characteristics from the already implemented market types.


Energy and Ancillary Services Joint Market Simulation

Tiago Soares, Bruno Canizes, Hugo Morais, Zita Vale

Polytechnic of Porto, Portugal

In order to develop a flexible simulator, a variety of models for Ancillary Services (AS) negotiation has been implemented in MASCEM – a multi-agent system competitive electricity markets simulator. In some of these models, the energy and the AS are addressed simultaneously while in other models they are addressed separately. This paper presents an energy and ancillary services joint market simulation. This paper proposes a deterministic approach for solving the energy and ancillary services joint market. A case study based on the dispatch of Regulation Down, Regulation Up, Spinning Reserve, and Non-Spinning Reserve services is used to demonstrate that the use of the developed methodology is suitable for solving this kind of optimization problem. The presented case study is based on CAISO real AS market data considers fifteen bids.