Extensions for Benders cuts and new valid inequalities for solving the European day-ahead electricity market clearing problem efficiently

Ceyhan G., Köksalan M., Lokman B.

European Journal of Operational Research, vol.300, no.2, pp.713-726, 2022 (SCI-Expanded) identifier identifier

  • Publication Type: Article / Article
  • Volume: 300 Issue: 2
  • Publication Date: 2022
  • Doi Number: 10.1016/j.ejor.2021.10.007
  • Journal Name: European Journal of Operational Research
  • Journal Indexes: Science Citation Index Expanded (SCI-EXPANDED), Scopus, International Bibliography of Social Sciences, ABI/INFORM, Applied Science & Technology Source, Business Source Elite, Business Source Premier, Computer & Applied Sciences, EconLit, INSPEC, Public Affairs Index, zbMATH, Civil Engineering Abstracts
  • Page Numbers: pp.713-726
  • Keywords: OR in energy, Day-ahead electricity market clearing problem, Mixed-integer linear programming, Benders decomposition, PRICE, MODEL
  • Middle East Technical University Affiliated: Yes

Abstract

© 2021 Elsevier B.V.We study the day-ahead electricity market clearing problem under the prevailing market design in the European electricity markets. We revisit the Benders decomposition algorithm that has been used to solve this problem. We develop new valid inequalities that substantially improve the performance of the algorithm. We generate instances that mimic the characteristics of past bids of the Turkish day-ahead electricity market and conduct experiments. We use two leading mixed-integer programming solvers, IBM ILOG Cplex and Gurobi, in order to assess the impact of employed solver on the algorithm performance. We compare the performances of our algorithm, the primal-dual algorithm, and the Benders decomposition algorithm using the existing cuts from the literature. The extensive experiments we conduct demonstrate that the price-based cuts we develop improve the performance of the Benders decomposition algorithm and outperform the primal-dual algorithm.