European Power Exchange day-ahead market clearing with Benders Decomposition

Abstract

A European Power Exchange day-ahead market with both simple and combinatorial products is modeled in this paper and cleared using Benders Decomposition. Except from simple hourly supply offers and demand bids, the products comprise supply and demand profile block offers/bids, and supply and demand linked profile block offers/bids. The problem constitutes a Mixed Integer Linear Programming model having a decomposable structure, which is decomposed in terms of binary and continuous variables, and solved using the Benders Decomposition approach. The master problem includes the binary variables, the decisions of which are transferred to the sub-problem, which incorporates the problem continuous variables. The iterations of Benders method constitute inner iterations; outer iterations are also performed in order to handle the paradoxically accepted and rejected blocks. The overall algorithm converges to the solution of the original MILP problem. The proposed approach is evaluated using the IEEE RTS-96 three-area test system.